-------------------------------------------------------------------------
      name:  <unnamed>
       log:  /Users/myramohnen/Dropbox/EventStudy_Paris/JAERE/Conditional
> Accept/RESULTS/4_appendix.log
  log type:  text
 opened on:  28 Jul 2023, 14:20:50

. /*=====================================================================
> =========*/
. /* Figure A1. Google Trend Statistics */  
. /*=====================================================================
> =========*/
. 
. clear 

. import excel "${raw}Paris Agreement.xlsx", sheet("ParisAgreement") firs
> trow allstring

. 
. gen GoogleTrend = regexs(4) if regexm(CategoryAllcategories, "^([0-9]+)
> [-]([0-9]+)[-]([0-9]+)[,]([0-9]+)")
(2 missing values generated)

. 
. destring GoogleTrend, replace force
GoogleTrend: all characters numeric; replaced as byte
(2 missing values generated)

. drop in 1/2
(2 observations deleted)

. 
. gen Year = regexs(1) if regexm(CategoryAllcategories, "^([0-9]+)[-]([0-
> 9]+)[-]([0-9]+)[,]([0-9]+)")

. gen Month = regexs(2) if regexm(CategoryAllcategories, "^([0-9]+)[-]([0
> -9]+)[-]([0-9]+)[,]([0-9]+)")

. gen Day = regexs(3) if regexm(CategoryAllcategories, "^([0-9]+)[-]([0-9
> ]+)[-]([0-9]+)[,]([0-9]+)")

. 
. gen Date = mdy(real(Month), real(Day), real(Year))

. gen Date2 = Date

. format Date %td

. 
. twoway line GoogleTrend Date, lcolor(black) graphregion(color(white)) /
> //
> ytitle("Google trends") xtitle("") ///
> xscale(range(20089 20840)) ///
> xlabel(20089 "1 Jan 2015" 20240 "1 Jul 2015" 20453 "1 Jan 2016" 20635 "
> 1 July 2016" 20820 "1 Jan 2017") ///
> text(90 20435 "Paris Agreement" 65 20561 "Signing Ceremony PA" 55 20680
>  "Threshold for entry" 100 20700 "PA enters into force") ///
> text(85 20435 "13-19 Dec. 2015" 60 20561 "22 April 2016" 50 20680 "5 Oc
> t. 2016" 95 20700 "4 Nov. 2016")

. 
. graph export "${result}FigA1.pdf", replace
(file /Users/myramohnen/Dropbox/EventStudy_Paris/JAERE/ConditionalAccept/
> RESULTS/FigA1.pdf written in PDF format)

. 
. /*=====================================================================
> =========*/
. /* Figure C1. Distribution of Green revenue shares across US firms with
>  a GR>0 between 2009-2013 (N=249) */
. /*=====================================================================
> =========*/
. 
. use "${raw}Trucost_MASTER_EventStudy.dta", clear

. 
. hist  MinGRShareTotalNonNeg if XT10_US_MinGRShareTotalNonNeg!=. & Year=
> =2013, ///
> percent xtitle("Green revenue shares of firms") ytitle ("Percent") ///
> graphregion(color(white)) color(blue)
(bin=15, start=.00008477, width=.06666102)

. 
. graph export "${result}FigC1.pdf", replace
(file /Users/myramohnen/Dropbox/EventStudy_Paris/JAERE/ConditionalAccept/
> RESULTS/FigC1.pdf written in PDF format)

. 
. /*=====================================================================
> =========*/
. /* Table C1. Descriptive statistics */
. /*=====================================================================
> =========*/
. 
. // Daily returns for green firms
. 
. clear

. import excel "${raw}US_MinGR_top8Xtile.xlsx" , sheet("Sheet2") cellrang
> e(A4:HM73) firstrow allstring clear

. 
. rename (E-HM) var`i'#, addnumber(1)

. rename C isincode

. drop if missing(isincode)
(6 observations deleted)

. duplicates drop isincode, force

Duplicates in terms of isincode

(0 observations are duplicates)

. foreach v of var (var1-var217) {
  2.     local lbl : var label `v'
  3.         
.     local lbl = strtoname("`lbl'")
  4.         
.     rename `v' `v'`lbl'
  5. }

. destring (var1__5_1_2015-var217_2_29_2016), replace force
var1__5_1_2015: all characters numeric; replaced as double
(3 missing values generated)
var2__5_4_2015: all characters numeric; replaced as double
(3 missing values generated)
var3__5_5_2015: all characters numeric; replaced as double
(3 missing values generated)
var4__5_6_2015: all characters numeric; replaced as double
(3 missing values generated)
var5__5_7_2015: all characters numeric; replaced as double
(3 missing values generated)
var6__5_8_2015: all characters numeric; replaced as double
(3 missing values generated)
var7_5_11_2015: all characters numeric; replaced as double
(3 missing values generated)
var8_5_12_2015: all characters numeric; replaced as double
(3 missing values generated)
var9_5_13_2015: all characters numeric; replaced as double
(3 missing values generated)
var10_5_14_2015: all characters numeric; replaced as double
(3 missing values generated)
var11_5_15_2015: all characters numeric; replaced as double
(3 missing values generated)
var12_5_18_2015: all characters numeric; replaced as double
(3 missing values generated)
var13_5_19_2015: all characters numeric; replaced as double
(3 missing values generated)
var14_5_20_2015: all characters numeric; replaced as double
(3 missing values generated)
var15_5_21_2015: all characters numeric; replaced as double
(3 missing values generated)
var16_5_22_2015: all characters numeric; replaced as double
(3 missing values generated)
var17_5_25_2015: all characters numeric; replaced as double
(3 missing values generated)
var18_5_26_2015: all characters numeric; replaced as double
(3 missing values generated)
var19_5_27_2015: all characters numeric; replaced as double
(3 missing values generated)
var20_5_28_2015: all characters numeric; replaced as double
(3 missing values generated)
var21_5_29_2015: all characters numeric; replaced as double
(3 missing values generated)
var22__6_1_2015: all characters numeric; replaced as double
(3 missing values generated)
var23__6_2_2015: all characters numeric; replaced as double
(3 missing values generated)
var24__6_3_2015: all characters numeric; replaced as double
(3 missing values generated)
var25__6_4_2015: all characters numeric; replaced as double
(3 missing values generated)
var26__6_5_2015: all characters numeric; replaced as double
(3 missing values generated)
var27__6_8_2015: all characters numeric; replaced as double
(3 missing values generated)
var28__6_9_2015: all characters numeric; replaced as double
(3 missing values generated)
var29_6_10_2015: all characters numeric; replaced as double
(3 missing values generated)
var30_6_11_2015: all characters numeric; replaced as double
(3 missing values generated)
var31_6_12_2015: all characters numeric; replaced as double
(3 missing values generated)
var32_6_15_2015: all characters numeric; replaced as double
(3 missing values generated)
var33_6_16_2015: all characters numeric; replaced as double
(3 missing values generated)
var34_6_17_2015: all characters numeric; replaced as double
(3 missing values generated)
var35_6_18_2015: all characters numeric; replaced as double
(3 missing values generated)
var36_6_19_2015: all characters numeric; replaced as double
(2 missing values generated)
var37_6_22_2015: all characters numeric; replaced as double
(2 missing values generated)
var38_6_23_2015: all characters numeric; replaced as double
(2 missing values generated)
var39_6_24_2015: all characters numeric; replaced as double
(2 missing values generated)
var40_6_25_2015: all characters numeric; replaced as double
(2 missing values generated)
var41_6_26_2015: all characters numeric; replaced as double
(2 missing values generated)
var42_6_29_2015: all characters numeric; replaced as double
(2 missing values generated)
var43_6_30_2015: all characters numeric; replaced as double
(2 missing values generated)
var44__7_1_2015: all characters numeric; replaced as double
(2 missing values generated)
var45__7_2_2015: all characters numeric; replaced as double
(2 missing values generated)
var46__7_3_2015: all characters numeric; replaced as double
(2 missing values generated)
var47__7_6_2015: all characters numeric; replaced as double
(2 missing values generated)
var48__7_7_2015: all characters numeric; replaced as double
(2 missing values generated)
var49__7_8_2015: all characters numeric; replaced as double
(2 missing values generated)
var50__7_9_2015: all characters numeric; replaced as double
(2 missing values generated)
var51_7_10_2015: all characters numeric; replaced as double
(2 missing values generated)
var52_7_13_2015: all characters numeric; replaced as double
(2 missing values generated)
var53_7_14_2015: all characters numeric; replaced as double
(2 missing values generated)
var54_7_15_2015: all characters numeric; replaced as double
(2 missing values generated)
var55_7_16_2015: all characters numeric; replaced as double
(2 missing values generated)
var56_7_17_2015: all characters numeric; replaced as double
(2 missing values generated)
var57_7_20_2015: all characters numeric; replaced as double
(2 missing values generated)
var58_7_21_2015: all characters numeric; replaced as double
(2 missing values generated)
var59_7_22_2015: all characters numeric; replaced as double
(2 missing values generated)
var60_7_23_2015: all characters numeric; replaced as double
(2 missing values generated)
var61_7_24_2015: all characters numeric; replaced as double
(2 missing values generated)
var62_7_27_2015: all characters numeric; replaced as double
(2 missing values generated)
var63_7_28_2015: all characters numeric; replaced as double
(2 missing values generated)
var64_7_29_2015: all characters numeric; replaced as double
(2 missing values generated)
var65_7_30_2015: all characters numeric; replaced as double
(2 missing values generated)
var66_7_31_2015: all characters numeric; replaced as double
(1 missing value generated)
var67__8_3_2015: all characters numeric; replaced as double
(1 missing value generated)
var68__8_4_2015: all characters numeric; replaced as double
(1 missing value generated)
var69__8_5_2015: all characters numeric; replaced as double
var70__8_6_2015: all characters numeric; replaced as double
var71__8_7_2015: all characters numeric; replaced as double
var72_8_10_2015: all characters numeric; replaced as double
var73_8_11_2015: all characters numeric; replaced as double
var74_8_12_2015: all characters numeric; replaced as double
var75_8_13_2015: all characters numeric; replaced as double
var76_8_14_2015: all characters numeric; replaced as double
var77_8_17_2015: all characters numeric; replaced as double
var78_8_18_2015: all characters numeric; replaced as double
var79_8_19_2015: all characters numeric; replaced as double
var80_8_20_2015: all characters numeric; replaced as double
var81_8_21_2015: all characters numeric; replaced as double
var82_8_24_2015: all characters numeric; replaced as double
var83_8_25_2015: all characters numeric; replaced as double
var84_8_26_2015: all characters numeric; replaced as double
var85_8_27_2015: all characters numeric; replaced as double
var86_8_28_2015: all characters numeric; replaced as double
var87_8_31_2015: all characters numeric; replaced as double
var88__9_1_2015: all characters numeric; replaced as double
var89__9_2_2015: all characters numeric; replaced as double
var90__9_3_2015: all characters numeric; replaced as double
var91__9_4_2015: all characters numeric; replaced as double
var92__9_7_2015: all characters numeric; replaced as double
var93__9_8_2015: all characters numeric; replaced as double
var94__9_9_2015: all characters numeric; replaced as double
var95_9_10_2015: all characters numeric; replaced as double
var96_9_11_2015: all characters numeric; replaced as double
var97_9_14_2015: all characters numeric; replaced as double
var98_9_15_2015: all characters numeric; replaced as double
var99_9_16_2015: all characters numeric; replaced as double
var100_9_17_2015: all characters numeric; replaced as double
var101_9_18_2015: all characters numeric; replaced as double
var102_9_21_2015: all characters numeric; replaced as double
var103_9_22_2015: all characters numeric; replaced as double
var104_9_23_2015: all characters numeric; replaced as double
var105_9_24_2015: all characters numeric; replaced as double
var106_9_25_2015: all characters numeric; replaced as double
var107_9_28_2015: all characters numeric; replaced as double
var108_9_29_2015: all characters numeric; replaced as double
var109_9_30_2015: all characters numeric; replaced as double
var110_10_1_2015: all characters numeric; replaced as double
var111_10_2_2015: all characters numeric; replaced as double
var112_10_5_2015: all characters numeric; replaced as double
var113_10_6_2015: all characters numeric; replaced as double
var114_10_7_2015: all characters numeric; replaced as double
var115_10_8_2015: all characters numeric; replaced as double
var116_10_9_2015: all characters numeric; replaced as double
var117_10_12_2015: all characters numeric; replaced as double
var118_10_13_2015: all characters numeric; replaced as double
var119_10_14_2015: all characters numeric; replaced as double
var120_10_15_2015: all characters numeric; replaced as double
var121_10_16_2015: all characters numeric; replaced as double
var122_10_19_2015: all characters numeric; replaced as double
var123_10_20_2015: all characters numeric; replaced as double
var124_10_21_2015: all characters numeric; replaced as double
var125_10_22_2015: all characters numeric; replaced as double
var126_10_23_2015: all characters numeric; replaced as double
var127_10_26_2015: all characters numeric; replaced as double
var128_10_27_2015: all characters numeric; replaced as double
var129_10_28_2015: all characters numeric; replaced as double
var130_10_29_2015: all characters numeric; replaced as double
var131_10_30_2015: all characters numeric; replaced as double
var132_11_2_2015: all characters numeric; replaced as double
var133_11_3_2015: all characters numeric; replaced as double
var134_11_4_2015: all characters numeric; replaced as double
var135_11_5_2015: all characters numeric; replaced as double
var136_11_6_2015: all characters numeric; replaced as double
var137_11_9_2015: all characters numeric; replaced as double
var138_11_10_2015: all characters numeric; replaced as double
var139_11_11_2015: all characters numeric; replaced as double
var140_11_12_2015: all characters numeric; replaced as double
var141_11_13_2015: all characters numeric; replaced as double
var142_11_16_2015: all characters numeric; replaced as double
var143_11_17_2015: all characters numeric; replaced as double
var144_11_18_2015: all characters numeric; replaced as double
var145_11_19_2015: all characters numeric; replaced as double
var146_11_20_2015: all characters numeric; replaced as double
var147_11_23_2015: all characters numeric; replaced as double
var148_11_24_2015: all characters numeric; replaced as double
var149_11_25_2015: all characters numeric; replaced as double
var150_11_26_2015: all characters numeric; replaced as double
var151_11_27_2015: all characters numeric; replaced as double
var152_11_30_2015: all characters numeric; replaced as double
var153_12_1_2015: all characters numeric; replaced as double
var154_12_2_2015: all characters numeric; replaced as double
var155_12_3_2015: all characters numeric; replaced as double
var156_12_4_2015: all characters numeric; replaced as double
var157_12_7_2015: all characters numeric; replaced as double
var158_12_8_2015: all characters numeric; replaced as double
var159_12_9_2015: all characters numeric; replaced as double
var160_12_10_2015: all characters numeric; replaced as double
var161_12_11_2015: all characters numeric; replaced as double
var162_12_14_2015: all characters numeric; replaced as double
var163_12_15_2015: all characters numeric; replaced as double
var164_12_16_2015: all characters numeric; replaced as double
var165_12_17_2015: all characters numeric; replaced as double
var166_12_18_2015: all characters numeric; replaced as double
var167_12_21_2015: all characters numeric; replaced as double
var168_12_22_2015: all characters numeric; replaced as double
var169_12_23_2015: all characters numeric; replaced as double
var170_12_24_2015: all characters numeric; replaced as double
var171_12_25_2015: all characters numeric; replaced as double
var172_12_28_2015: all characters numeric; replaced as double
var173_12_29_2015: all characters numeric; replaced as double
var174_12_30_2015: all characters numeric; replaced as double
var175_12_31_2015: all characters numeric; replaced as double
var176__1_1_2016: all characters numeric; replaced as double
var177__1_4_2016: all characters numeric; replaced as double
var178__1_5_2016: all characters numeric; replaced as double
var179__1_6_2016: all characters numeric; replaced as double
var180__1_7_2016: all characters numeric; replaced as double
var181__1_8_2016: all characters numeric; replaced as double
var182_1_11_2016: all characters numeric; replaced as double
var183_1_12_2016: all characters numeric; replaced as double
var184_1_13_2016: all characters numeric; replaced as double
var185_1_14_2016: all characters numeric; replaced as double
var186_1_15_2016: all characters numeric; replaced as double
var187_1_18_2016: all characters numeric; replaced as double
var188_1_19_2016: all characters numeric; replaced as double
var189_1_20_2016: all characters numeric; replaced as double
var190_1_21_2016: all characters numeric; replaced as double
var191_1_22_2016: all characters numeric; replaced as double
var192_1_25_2016: all characters numeric; replaced as double
var193_1_26_2016: all characters numeric; replaced as double
var194_1_27_2016: all characters numeric; replaced as double
var195_1_28_2016: all characters numeric; replaced as double
var196_1_29_2016: all characters numeric; replaced as double
var197__2_1_2016: all characters numeric; replaced as double
var198__2_2_2016: all characters numeric; replaced as double
var199__2_3_2016: all characters numeric; replaced as double
var200__2_4_2016: all characters numeric; replaced as double
var201__2_5_2016: all characters numeric; replaced as double
var202__2_8_2016: all characters numeric; replaced as double
var203__2_9_2016: all characters numeric; replaced as double
var204_2_10_2016: all characters numeric; replaced as double
var205_2_11_2016: all characters numeric; replaced as double
var206_2_12_2016: all characters numeric; replaced as double
var207_2_15_2016: all characters numeric; replaced as double
var208_2_16_2016: all characters numeric; replaced as double
var209_2_17_2016: all characters numeric; replaced as double
var210_2_18_2016: all characters numeric; replaced as double
var211_2_19_2016: all characters numeric; replaced as double
var212_2_22_2016: all characters numeric; replaced as double
var213_2_23_2016: all characters numeric; replaced as double
var214_2_24_2016: all characters numeric; replaced as double
var215_2_25_2016: all characters numeric; replaced as double
var216_2_26_2016: all characters numeric; replaced as double
var217_2_29_2016: all characters numeric; replaced as double

. 
. 
. reshape long var`i', i(isincode) j(fyr, string)
(note: j = 100_9_17_2015 101_9_18_2015 102_9_21_2015 103_9_22_2015 104_9_
> 23_2015 105_9_24_2015 106_9_25_2015 107_9_28_2015 108_9_29_2015 109_9_3
> 0_2015 10_5_14_2015 110_10_1_2015 111_10_2_2015 112_10_5_2015 113_10_6_
> 2015 114_10_7_2015 115_10_8_2015 116_10_9_2015 117_10_12_2015 118_10_13
> _2015 119_10_14_2015 11_5_15_2015 120_10_15_2015 121_10_16_2015 122_10_
> 19_2015 123_10_20_2015 124_10_21_2015 125_10_22_2015 126_10_23_2015 127
> _10_26_2015 128_10_27_2015 129_10_28_2015 12_5_18_2015 130_10_29_2015 1
> 31_10_30_2015 132_11_2_2015 133_11_3_2015 134_11_4_2015 135_11_5_2015 1
> 36_11_6_2015 137_11_9_2015 138_11_10_2015 139_11_11_2015 13_5_19_2015 1
> 40_11_12_2015 141_11_13_2015 142_11_16_2015 143_11_17_2015 144_11_18_20
> 15 145_11_19_2015 146_11_20_2015 147_11_23_2015 148_11_24_2015 149_11_2
> 5_2015 14_5_20_2015 150_11_26_2015 151_11_27_2015 152_11_30_2015 153_12
> _1_2015 154_12_2_2015 155_12_3_2015 156_12_4_2015 157_12_7_2015 158_12_
> 8_2015 159_12_9_2015 15_5_21_2015 160_12_10_2015 161_12_11_2015 162_12_
> 14_2015 163_12_15_2015 164_12_16_2015 165_12_17_2015 166_12_18_2015 167
> _12_21_2015 168_12_22_2015 169_12_23_2015 16_5_22_2015 170_12_24_2015 1
> 71_12_25_2015 172_12_28_2015 173_12_29_2015 174_12_30_2015 175_12_31_20
> 15 176__1_1_2016 177__1_4_2016 178__1_5_2016 179__1_6_2016 17_5_25_2015
>  180__1_7_2016 181__1_8_2016 182_1_11_2016 183_1_12_2016 184_1_13_2016 
> 185_1_14_2016 186_1_15_2016 187_1_18_2016 188_1_19_2016 189_1_20_2016 1
> 8_5_26_2015 190_1_21_2016 191_1_22_2016 192_1_25_2016 193_1_26_2016 194
> _1_27_2016 195_1_28_2016 196_1_29_2016 197__2_1_2016 198__2_2_2016 199_
> _2_3_2016 19_5_27_2015 1__5_1_2015 200__2_4_2016 201__2_5_2016 202__2_8
> _2016 203__2_9_2016 204_2_10_2016 205_2_11_2016 206_2_12_2016 207_2_15_
> 2016 208_2_16_2016 209_2_17_2016 20_5_28_2015 210_2_18_2016 211_2_19_20
> 16 212_2_22_2016 213_2_23_2016 214_2_24_2016 215_2_25_2016 216_2_26_201
> 6 217_2_29_2016 21_5_29_2015 22__6_1_2015 23__6_2_2015 24__6_3_2015 25_
> _6_4_2015 26__6_5_2015 27__6_8_2015 28__6_9_2015 29_6_10_2015 2__5_4_20
> 15 30_6_11_2015 31_6_12_2015 32_6_15_2015 33_6_16_2015 34_6_17_2015 35_
> 6_18_2015 36_6_19_2015 37_6_22_2015 38_6_23_2015 39_6_24_2015 3__5_5_20
> 15 40_6_25_2015 41_6_26_2015 42_6_29_2015 43_6_30_2015 44__7_1_2015 45_
> _7_2_2015 46__7_3_2015 47__7_6_2015 48__7_7_2015 49__7_8_2015 4__5_6_20
> 15 50__7_9_2015 51_7_10_2015 52_7_13_2015 53_7_14_2015 54_7_15_2015 55_
> 7_16_2015 56_7_17_2015 57_7_20_2015 58_7_21_2015 59_7_22_2015 5__5_7_20
> 15 60_7_23_2015 61_7_24_2015 62_7_27_2015 63_7_28_2015 64_7_29_2015 65_
> 7_30_2015 66_7_31_2015 67__8_3_2015 68__8_4_2015 69__8_5_2015 6__5_8_20
> 15 70__8_6_2015 71__8_7_2015 72_8_10_2015 73_8_11_2015 74_8_12_2015 75_
> 8_13_2015 76_8_14_2015 77_8_17_2015 78_8_18_2015 79_8_19_2015 7_5_11_20
> 15 80_8_20_2015 81_8_21_2015 82_8_24_2015 83_8_25_2015 84_8_26_2015 85_
> 8_27_2015 86_8_28_2015 87_8_31_2015 88__9_1_2015 89__9_2_2015 8_5_12_20
> 15 90__9_3_2015 91__9_4_2015 92__9_7_2015 93__9_8_2015 94__9_9_2015 95_
> 9_10_2015 96_9_11_2015 97_9_14_2015 98_9_15_2015 99_9_16_2015 9_5_13_20
> 15)

Data                               wide   ->   long
-------------------------------------------------------------------------
> ----
Number of obs.                       63   ->   13671
Number of variables                 221   ->       6
j variable (217 values)                   ->   fyr
xij variables:
var100_9_17_2015 var101_9_18_2015 ... var9_5_13_2015->var
-------------------------------------------------------------------------
> ----

. save var`i', replace
file var.dta saved

. 
. rename var Price_unadjusted

. 
. gen TradingDay = regexs(1) if regexm(fyr, "^([0-9]+)_")

. destring TradingDay, replace
TradingDay: all characters numeric; replaced as int

. 
. gen DateOld = regexs(2) if regexm(fyr, "^([0-9]+)[_]+([0-9]+[_][0-9]+[_
> ][0-9]+)")

. 
. generate Date = date(Date, "MDY")

. format %td Date

. 
. bysort ISIN (TradingDay): gen Return_Unadj = ln(Price_unadjusted[_n]/Pr
> ice_unadjusted[_n-1])
(231 missing values generated)

. 
. replace Return_Unadj =  Return_Unadj*100 
(12,040 real changes made)

. 
. sum Return_Unadj if Date>td(22jun2015) & Date<td(29dec2015), d 

                        Return_Unadj
-------------------------------------------------------------
      Percentiles      Smallest
 1%    -12.81752      -163.1417
 5%    -6.494167      -55.00463
10%    -4.356699      -47.55888       Obs               8,444
25%    -1.752974      -46.78554       Sum of Wgt.       8,444

50%            0                      Mean          -.1592643
                        Largest       Std. Dev.      5.870254
75%     1.265604       48.55078
90%     3.694351       49.31707       Variance       34.45988
95%     6.024667       109.0449       Skewness       9.636426
99%     13.35314       268.1664       Kurtosis       611.1532

. sum Return_Unadj if Date>td(22jun2015) & Date<td(29dec2015)

    Variable |        Obs        Mean    Std. Dev.       Min        Max
-------------+---------------------------------------------------------
Return_Unadj |      8,444   -.1592643    5.870254  -163.1417   268.1664

. 
. // Daily returns for emission intensive firms scope 1
. 
. clear

. import excel "${raw}Trucost_US_top10pcCISc1.xlsx", sheet("Sheet2") cell
> range(A4:HM111) firstrow allstring 

. 
. rename (E-HM) var`i'#, addnumber(1)

. rename C isincode

. drop if missing(isincode)
(4 observations deleted)

. duplicates drop isincode, force

Duplicates in terms of isincode

(0 observations are duplicates)

. foreach v of var (var1-var217) {
  2.     local lbl : var label `v'
  3.         
.     local lbl = strtoname("`lbl'")
  4.         
.     rename `v' `v'`lbl'
  5. }

. destring (var1__5_1_2015-var217_2_29_2016), replace force
var1__5_1_2015: all characters numeric; replaced as double
(2 missing values generated)
var2__5_4_2015: all characters numeric; replaced as double
(2 missing values generated)
var3__5_5_2015: all characters numeric; replaced as double
(2 missing values generated)
var4__5_6_2015: all characters numeric; replaced as double
(2 missing values generated)
var5__5_7_2015: all characters numeric; replaced as double
(2 missing values generated)
var6__5_8_2015: all characters numeric; replaced as double
(2 missing values generated)
var7_5_11_2015: all characters numeric; replaced as double
(2 missing values generated)
var8_5_12_2015: all characters numeric; replaced as double
(2 missing values generated)
var9_5_13_2015: all characters numeric; replaced as double
(2 missing values generated)
var10_5_14_2015: all characters numeric; replaced as double
(2 missing values generated)
var11_5_15_2015: all characters numeric; replaced as double
(2 missing values generated)
var12_5_18_2015: all characters numeric; replaced as double
(2 missing values generated)
var13_5_19_2015: all characters numeric; replaced as double
(2 missing values generated)
var14_5_20_2015: all characters numeric; replaced as double
(2 missing values generated)
var15_5_21_2015: all characters numeric; replaced as double
(2 missing values generated)
var16_5_22_2015: all characters numeric; replaced as double
(2 missing values generated)
var17_5_25_2015: all characters numeric; replaced as double
(2 missing values generated)
var18_5_26_2015: all characters numeric; replaced as double
(2 missing values generated)
var19_5_27_2015: all characters numeric; replaced as double
(2 missing values generated)
var20_5_28_2015: all characters numeric; replaced as double
(2 missing values generated)
var21_5_29_2015: all characters numeric; replaced as double
(2 missing values generated)
var22__6_1_2015: all characters numeric; replaced as double
(2 missing values generated)
var23__6_2_2015: all characters numeric; replaced as double
(2 missing values generated)
var24__6_3_2015: all characters numeric; replaced as double
(2 missing values generated)
var25__6_4_2015: all characters numeric; replaced as double
(2 missing values generated)
var26__6_5_2015: all characters numeric; replaced as double
(2 missing values generated)
var27__6_8_2015: all characters numeric; replaced as double
(2 missing values generated)
var28__6_9_2015: all characters numeric; replaced as double
(2 missing values generated)
var29_6_10_2015: all characters numeric; replaced as double
(2 missing values generated)
var30_6_11_2015: all characters numeric; replaced as double
(2 missing values generated)
var31_6_12_2015: all characters numeric; replaced as double
(2 missing values generated)
var32_6_15_2015: all characters numeric; replaced as double
(2 missing values generated)
var33_6_16_2015: all characters numeric; replaced as double
(2 missing values generated)
var34_6_17_2015: all characters numeric; replaced as double
(2 missing values generated)
var35_6_18_2015: all characters numeric; replaced as double
(2 missing values generated)
var36_6_19_2015: all characters numeric; replaced as double
(2 missing values generated)
var37_6_22_2015: all characters numeric; replaced as double
(2 missing values generated)
var38_6_23_2015: all characters numeric; replaced as double
(2 missing values generated)
var39_6_24_2015: all characters numeric; replaced as double
(1 missing value generated)
var40_6_25_2015: all characters numeric; replaced as double
(1 missing value generated)
var41_6_26_2015: all characters numeric; replaced as double
(1 missing value generated)
var42_6_29_2015: all characters numeric; replaced as double
(1 missing value generated)
var43_6_30_2015: all characters numeric; replaced as double
(1 missing value generated)
var44__7_1_2015: all characters numeric; replaced as double
(1 missing value generated)
var45__7_2_2015: all characters numeric; replaced as double
(1 missing value generated)
var46__7_3_2015: all characters numeric; replaced as double
(1 missing value generated)
var47__7_6_2015: all characters numeric; replaced as double
(1 missing value generated)
var48__7_7_2015: all characters numeric; replaced as double
(1 missing value generated)
var49__7_8_2015: all characters numeric; replaced as double
(1 missing value generated)
var50__7_9_2015: all characters numeric; replaced as double
(1 missing value generated)
var51_7_10_2015: all characters numeric; replaced as double
(1 missing value generated)
var52_7_13_2015: all characters numeric; replaced as double
(1 missing value generated)
var53_7_14_2015: all characters numeric; replaced as double
(1 missing value generated)
var54_7_15_2015: all characters numeric; replaced as double
(1 missing value generated)
var55_7_16_2015: all characters numeric; replaced as double
(1 missing value generated)
var56_7_17_2015: all characters numeric; replaced as double
(1 missing value generated)
var57_7_20_2015: all characters numeric; replaced as double
(1 missing value generated)
var58_7_21_2015: all characters numeric; replaced as double
(1 missing value generated)
var59_7_22_2015: all characters numeric; replaced as double
(1 missing value generated)
var60_7_23_2015: all characters numeric; replaced as double
(1 missing value generated)
var61_7_24_2015: all characters numeric; replaced as double
(1 missing value generated)
var62_7_27_2015: all characters numeric; replaced as double
(1 missing value generated)
var63_7_28_2015: all characters numeric; replaced as double
(1 missing value generated)
var64_7_29_2015: all characters numeric; replaced as double
(1 missing value generated)
var65_7_30_2015: all characters numeric; replaced as double
(1 missing value generated)
var66_7_31_2015: all characters numeric; replaced as double
(1 missing value generated)
var67__8_3_2015: all characters numeric; replaced as double
(1 missing value generated)
var68__8_4_2015: all characters numeric; replaced as double
(1 missing value generated)
var69__8_5_2015: all characters numeric; replaced as double
(1 missing value generated)
var70__8_6_2015: all characters numeric; replaced as double
(1 missing value generated)
var71__8_7_2015: all characters numeric; replaced as double
(1 missing value generated)
var72_8_10_2015: all characters numeric; replaced as double
(1 missing value generated)
var73_8_11_2015: all characters numeric; replaced as double
(1 missing value generated)
var74_8_12_2015: all characters numeric; replaced as double
(1 missing value generated)
var75_8_13_2015: all characters numeric; replaced as double
(1 missing value generated)
var76_8_14_2015: all characters numeric; replaced as double
(1 missing value generated)
var77_8_17_2015: all characters numeric; replaced as double
(1 missing value generated)
var78_8_18_2015: all characters numeric; replaced as double
(1 missing value generated)
var79_8_19_2015: all characters numeric; replaced as double
(1 missing value generated)
var80_8_20_2015: all characters numeric; replaced as double
(1 missing value generated)
var81_8_21_2015: all characters numeric; replaced as double
(1 missing value generated)
var82_8_24_2015: all characters numeric; replaced as double
(1 missing value generated)
var83_8_25_2015: all characters numeric; replaced as double
(1 missing value generated)
var84_8_26_2015: all characters numeric; replaced as double
(1 missing value generated)
var85_8_27_2015: all characters numeric; replaced as double
(1 missing value generated)
var86_8_28_2015: all characters numeric; replaced as double
(1 missing value generated)
var87_8_31_2015: all characters numeric; replaced as double
(1 missing value generated)
var88__9_1_2015: all characters numeric; replaced as double
(1 missing value generated)
var89__9_2_2015: all characters numeric; replaced as double
(1 missing value generated)
var90__9_3_2015: all characters numeric; replaced as double
(1 missing value generated)
var91__9_4_2015: all characters numeric; replaced as double
(1 missing value generated)
var92__9_7_2015: all characters numeric; replaced as double
(1 missing value generated)
var93__9_8_2015: all characters numeric; replaced as double
(1 missing value generated)
var94__9_9_2015: all characters numeric; replaced as double
(1 missing value generated)
var95_9_10_2015: all characters numeric; replaced as double
(1 missing value generated)
var96_9_11_2015: all characters numeric; replaced as double
(1 missing value generated)
var97_9_14_2015: all characters numeric; replaced as double
(1 missing value generated)
var98_9_15_2015: all characters numeric; replaced as double
(1 missing value generated)
var99_9_16_2015: all characters numeric; replaced as double
(1 missing value generated)
var100_9_17_2015: all characters numeric; replaced as double
(1 missing value generated)
var101_9_18_2015: all characters numeric; replaced as double
(1 missing value generated)
var102_9_21_2015: all characters numeric; replaced as double
(1 missing value generated)
var103_9_22_2015: all characters numeric; replaced as double
(1 missing value generated)
var104_9_23_2015: all characters numeric; replaced as double
(1 missing value generated)
var105_9_24_2015: all characters numeric; replaced as double
(1 missing value generated)
var106_9_25_2015: all characters numeric; replaced as double
(1 missing value generated)
var107_9_28_2015: all characters numeric; replaced as double
(1 missing value generated)
var108_9_29_2015: all characters numeric; replaced as double
(1 missing value generated)
var109_9_30_2015: all characters numeric; replaced as double
(1 missing value generated)
var110_10_1_2015: all characters numeric; replaced as double
(1 missing value generated)
var111_10_2_2015: all characters numeric; replaced as double
(1 missing value generated)
var112_10_5_2015: all characters numeric; replaced as double
(1 missing value generated)
var113_10_6_2015: all characters numeric; replaced as double
(1 missing value generated)
var114_10_7_2015: all characters numeric; replaced as double
(1 missing value generated)
var115_10_8_2015: all characters numeric; replaced as double
(1 missing value generated)
var116_10_9_2015: all characters numeric; replaced as double
(1 missing value generated)
var117_10_12_2015: all characters numeric; replaced as double
(1 missing value generated)
var118_10_13_2015: all characters numeric; replaced as double
(1 missing value generated)
var119_10_14_2015: all characters numeric; replaced as double
(1 missing value generated)
var120_10_15_2015: all characters numeric; replaced as double
(1 missing value generated)
var121_10_16_2015: all characters numeric; replaced as double
(1 missing value generated)
var122_10_19_2015: all characters numeric; replaced as double
(1 missing value generated)
var123_10_20_2015: all characters numeric; replaced as double
(1 missing value generated)
var124_10_21_2015: all characters numeric; replaced as double
(1 missing value generated)
var125_10_22_2015: all characters numeric; replaced as double
(1 missing value generated)
var126_10_23_2015: all characters numeric; replaced as double
(1 missing value generated)
var127_10_26_2015: all characters numeric; replaced as double
(1 missing value generated)
var128_10_27_2015: all characters numeric; replaced as double
(1 missing value generated)
var129_10_28_2015: all characters numeric; replaced as double
(1 missing value generated)
var130_10_29_2015: all characters numeric; replaced as double
(1 missing value generated)
var131_10_30_2015: all characters numeric; replaced as double
(1 missing value generated)
var132_11_2_2015: all characters numeric; replaced as double
(1 missing value generated)
var133_11_3_2015: all characters numeric; replaced as double
(1 missing value generated)
var134_11_4_2015: all characters numeric; replaced as double
(1 missing value generated)
var135_11_5_2015: all characters numeric; replaced as double
(1 missing value generated)
var136_11_6_2015: all characters numeric; replaced as double
(1 missing value generated)
var137_11_9_2015: all characters numeric; replaced as double
(1 missing value generated)
var138_11_10_2015: all characters numeric; replaced as double
(1 missing value generated)
var139_11_11_2015: all characters numeric; replaced as double
(1 missing value generated)
var140_11_12_2015: all characters numeric; replaced as double
(1 missing value generated)
var141_11_13_2015: all characters numeric; replaced as double
(1 missing value generated)
var142_11_16_2015: all characters numeric; replaced as double
(1 missing value generated)
var143_11_17_2015: all characters numeric; replaced as double
(1 missing value generated)
var144_11_18_2015: all characters numeric; replaced as double
(1 missing value generated)
var145_11_19_2015: all characters numeric; replaced as double
(1 missing value generated)
var146_11_20_2015: all characters numeric; replaced as double
(1 missing value generated)
var147_11_23_2015: all characters numeric; replaced as double
(1 missing value generated)
var148_11_24_2015: all characters numeric; replaced as double
(1 missing value generated)
var149_11_25_2015: all characters numeric; replaced as double
(1 missing value generated)
var150_11_26_2015: all characters numeric; replaced as double
(1 missing value generated)
var151_11_27_2015: all characters numeric; replaced as double
(1 missing value generated)
var152_11_30_2015: all characters numeric; replaced as double
(1 missing value generated)
var153_12_1_2015: all characters numeric; replaced as double
var154_12_2_2015: all characters numeric; replaced as double
var155_12_3_2015: all characters numeric; replaced as double
var156_12_4_2015: all characters numeric; replaced as double
var157_12_7_2015: all characters numeric; replaced as double
var158_12_8_2015: all characters numeric; replaced as double
var159_12_9_2015: all characters numeric; replaced as double
var160_12_10_2015: all characters numeric; replaced as double
var161_12_11_2015: all characters numeric; replaced as double
var162_12_14_2015: all characters numeric; replaced as double
var163_12_15_2015: all characters numeric; replaced as double
var164_12_16_2015: all characters numeric; replaced as double
var165_12_17_2015: all characters numeric; replaced as double
var166_12_18_2015: all characters numeric; replaced as double
var167_12_21_2015: all characters numeric; replaced as double
var168_12_22_2015: all characters numeric; replaced as double
var169_12_23_2015: all characters numeric; replaced as double
var170_12_24_2015: all characters numeric; replaced as double
var171_12_25_2015: all characters numeric; replaced as double
var172_12_28_2015: all characters numeric; replaced as double
var173_12_29_2015: all characters numeric; replaced as double
var174_12_30_2015: all characters numeric; replaced as double
var175_12_31_2015: all characters numeric; replaced as double
var176__1_1_2016: all characters numeric; replaced as double
var177__1_4_2016: all characters numeric; replaced as double
var178__1_5_2016: all characters numeric; replaced as double
var179__1_6_2016: all characters numeric; replaced as double
var180__1_7_2016: all characters numeric; replaced as double
var181__1_8_2016: all characters numeric; replaced as double
var182_1_11_2016: all characters numeric; replaced as double
var183_1_12_2016: all characters numeric; replaced as double
var184_1_13_2016: all characters numeric; replaced as double
var185_1_14_2016: all characters numeric; replaced as double
var186_1_15_2016: all characters numeric; replaced as double
var187_1_18_2016: all characters numeric; replaced as double
var188_1_19_2016: all characters numeric; replaced as double
var189_1_20_2016: all characters numeric; replaced as double
var190_1_21_2016: all characters numeric; replaced as double
var191_1_22_2016: all characters numeric; replaced as double
var192_1_25_2016: all characters numeric; replaced as double
var193_1_26_2016: all characters numeric; replaced as double
var194_1_27_2016: all characters numeric; replaced as double
var195_1_28_2016: all characters numeric; replaced as double
var196_1_29_2016: all characters numeric; replaced as double
var197__2_1_2016: all characters numeric; replaced as double
var198__2_2_2016: all characters numeric; replaced as double
var199__2_3_2016: all characters numeric; replaced as double
var200__2_4_2016: all characters numeric; replaced as double
var201__2_5_2016: all characters numeric; replaced as double
var202__2_8_2016: all characters numeric; replaced as double
var203__2_9_2016: all characters numeric; replaced as double
var204_2_10_2016: all characters numeric; replaced as double
var205_2_11_2016: all characters numeric; replaced as double
var206_2_12_2016: all characters numeric; replaced as double
var207_2_15_2016: all characters numeric; replaced as double
var208_2_16_2016: all characters numeric; replaced as double
var209_2_17_2016: all characters numeric; replaced as double
var210_2_18_2016: all characters numeric; replaced as double
var211_2_19_2016: all characters numeric; replaced as double
var212_2_22_2016: all characters numeric; replaced as double
var213_2_23_2016: all characters numeric; replaced as double
var214_2_24_2016: all characters numeric; replaced as double
var215_2_25_2016: all characters numeric; replaced as double
var216_2_26_2016: all characters numeric; replaced as double
var217_2_29_2016: all characters numeric; replaced as double

. 
. reshape long var`i', i(isincode) j(fyr, string)
(note: j = 100_9_17_2015 101_9_18_2015 102_9_21_2015 103_9_22_2015 104_9_
> 23_2015 105_9_24_2015 106_9_25_2015 107_9_28_2015 108_9_29_2015 109_9_3
> 0_2015 10_5_14_2015 110_10_1_2015 111_10_2_2015 112_10_5_2015 113_10_6_
> 2015 114_10_7_2015 115_10_8_2015 116_10_9_2015 117_10_12_2015 118_10_13
> _2015 119_10_14_2015 11_5_15_2015 120_10_15_2015 121_10_16_2015 122_10_
> 19_2015 123_10_20_2015 124_10_21_2015 125_10_22_2015 126_10_23_2015 127
> _10_26_2015 128_10_27_2015 129_10_28_2015 12_5_18_2015 130_10_29_2015 1
> 31_10_30_2015 132_11_2_2015 133_11_3_2015 134_11_4_2015 135_11_5_2015 1
> 36_11_6_2015 137_11_9_2015 138_11_10_2015 139_11_11_2015 13_5_19_2015 1
> 40_11_12_2015 141_11_13_2015 142_11_16_2015 143_11_17_2015 144_11_18_20
> 15 145_11_19_2015 146_11_20_2015 147_11_23_2015 148_11_24_2015 149_11_2
> 5_2015 14_5_20_2015 150_11_26_2015 151_11_27_2015 152_11_30_2015 153_12
> _1_2015 154_12_2_2015 155_12_3_2015 156_12_4_2015 157_12_7_2015 158_12_
> 8_2015 159_12_9_2015 15_5_21_2015 160_12_10_2015 161_12_11_2015 162_12_
> 14_2015 163_12_15_2015 164_12_16_2015 165_12_17_2015 166_12_18_2015 167
> _12_21_2015 168_12_22_2015 169_12_23_2015 16_5_22_2015 170_12_24_2015 1
> 71_12_25_2015 172_12_28_2015 173_12_29_2015 174_12_30_2015 175_12_31_20
> 15 176__1_1_2016 177__1_4_2016 178__1_5_2016 179__1_6_2016 17_5_25_2015
>  180__1_7_2016 181__1_8_2016 182_1_11_2016 183_1_12_2016 184_1_13_2016 
> 185_1_14_2016 186_1_15_2016 187_1_18_2016 188_1_19_2016 189_1_20_2016 1
> 8_5_26_2015 190_1_21_2016 191_1_22_2016 192_1_25_2016 193_1_26_2016 194
> _1_27_2016 195_1_28_2016 196_1_29_2016 197__2_1_2016 198__2_2_2016 199_
> _2_3_2016 19_5_27_2015 1__5_1_2015 200__2_4_2016 201__2_5_2016 202__2_8
> _2016 203__2_9_2016 204_2_10_2016 205_2_11_2016 206_2_12_2016 207_2_15_
> 2016 208_2_16_2016 209_2_17_2016 20_5_28_2015 210_2_18_2016 211_2_19_20
> 16 212_2_22_2016 213_2_23_2016 214_2_24_2016 215_2_25_2016 216_2_26_201
> 6 217_2_29_2016 21_5_29_2015 22__6_1_2015 23__6_2_2015 24__6_3_2015 25_
> _6_4_2015 26__6_5_2015 27__6_8_2015 28__6_9_2015 29_6_10_2015 2__5_4_20
> 15 30_6_11_2015 31_6_12_2015 32_6_15_2015 33_6_16_2015 34_6_17_2015 35_
> 6_18_2015 36_6_19_2015 37_6_22_2015 38_6_23_2015 39_6_24_2015 3__5_5_20
> 15 40_6_25_2015 41_6_26_2015 42_6_29_2015 43_6_30_2015 44__7_1_2015 45_
> _7_2_2015 46__7_3_2015 47__7_6_2015 48__7_7_2015 49__7_8_2015 4__5_6_20
> 15 50__7_9_2015 51_7_10_2015 52_7_13_2015 53_7_14_2015 54_7_15_2015 55_
> 7_16_2015 56_7_17_2015 57_7_20_2015 58_7_21_2015 59_7_22_2015 5__5_7_20
> 15 60_7_23_2015 61_7_24_2015 62_7_27_2015 63_7_28_2015 64_7_29_2015 65_
> 7_30_2015 66_7_31_2015 67__8_3_2015 68__8_4_2015 69__8_5_2015 6__5_8_20
> 15 70__8_6_2015 71__8_7_2015 72_8_10_2015 73_8_11_2015 74_8_12_2015 75_
> 8_13_2015 76_8_14_2015 77_8_17_2015 78_8_18_2015 79_8_19_2015 7_5_11_20
> 15 80_8_20_2015 81_8_21_2015 82_8_24_2015 83_8_25_2015 84_8_26_2015 85_
> 8_27_2015 86_8_28_2015 87_8_31_2015 88__9_1_2015 89__9_2_2015 8_5_12_20
> 15 90__9_3_2015 91__9_4_2015 92__9_7_2015 93__9_8_2015 94__9_9_2015 95_
> 9_10_2015 96_9_11_2015 97_9_14_2015 98_9_15_2015 99_9_16_2015 9_5_13_20
> 15)

Data                               wide   ->   long
-------------------------------------------------------------------------
> ----
Number of obs.                      103   ->   22351
Number of variables                 221   ->       6
j variable (217 values)                   ->   fyr
xij variables:
var100_9_17_2015 var101_9_18_2015 ... var9_5_13_2015->var
-------------------------------------------------------------------------
> ----

. save var`i', replace
file var.dta saved

. 
. rename var Price_unadjusted

. 
. gen TradingDay = regexs(1) if regexm(fyr, "^([0-9]+)_")

. destring TradingDay, replace
TradingDay: all characters numeric; replaced as int

. 
. gen DateOld = regexs(2) if regexm(fyr, "^([0-9]+)[_]+([0-9]+[_][0-9]+[_
> ][0-9]+)")

. 
. generate Date = date(Date, "MDY")

. format %td Date

. 
. bysort ISIN (TradingDay): gen Return_Unadj = ln(Price_unadjusted[_n]/Pr
> ice_unadjusted[_n-1])
(293 missing values generated)

. 
. replace Return_Unadj =  Return_Unadj*100 
(20,925 real changes made)

. 
. sum Return_Unadj if Date>td(22jun2015) & Date<td(29dec2015), d 

                        Return_Unadj
-------------------------------------------------------------
      Percentiles      Smallest
 1%    -9.197869      -98.39879
 5%    -4.406256       -87.7873
10%    -2.873126      -87.54688       Obs              13,787
25%    -1.189075      -69.31472       Sum of Wgt.      13,787

50%            0                      Mean          -.2137064
                        Largest       Std. Dev.      3.464639
75%     .9817973       28.76821
90%     2.265102       28.76821       Variance       12.00372
95%     3.441908       40.54651       Skewness      -5.597273
99%     7.924456       45.88659       Kurtosis        145.471

. sum Return_Unadj if Date>td(22jun2015) & Date<td(29dec2015)

    Variable |        Obs        Mean    Std. Dev.       Min        Max
-------------+---------------------------------------------------------
Return_Unadj |     13,787   -.2137064    3.464639  -98.39879   45.88659

. 
. // Daily returns for emission intensive firms scope 2
. 
. clear

. import excel "${raw}Trucost_US_top10pcCISc2.xlsm", sheet("Sheet2") cell
> range(A4:HM110) firstrow allstring 

. 
. rename (E-HM) var`i'#, addnumber(1)

. rename C isincode

. drop if missing(isincode)
(3 observations deleted)

. duplicates drop isincode, force

Duplicates in terms of isincode

(0 observations are duplicates)

. foreach v of var (var1-var217) {
  2.     local lbl : var label `v'
  3.         
.     local lbl = strtoname("`lbl'")
  4.         
.     rename `v' `v'`lbl'
  5. }

. destring (var1__5_1_2015-var217_2_29_2016), replace force
var1__5_1_2015: all characters numeric; replaced as double
(1 missing value generated)
var2__5_4_2015: all characters numeric; replaced as double
(1 missing value generated)
var3__5_5_2015: all characters numeric; replaced as double
(1 missing value generated)
var4__5_6_2015: all characters numeric; replaced as double
(1 missing value generated)
var5__5_7_2015: all characters numeric; replaced as double
(1 missing value generated)
var6__5_8_2015: all characters numeric; replaced as double
(1 missing value generated)
var7_5_11_2015: all characters numeric; replaced as double
(1 missing value generated)
var8_5_12_2015: all characters numeric; replaced as double
(1 missing value generated)
var9_5_13_2015: all characters numeric; replaced as double
(1 missing value generated)
var10_5_14_2015: all characters numeric; replaced as double
(1 missing value generated)
var11_5_15_2015: all characters numeric; replaced as double
(1 missing value generated)
var12_5_18_2015: all characters numeric; replaced as double
(1 missing value generated)
var13_5_19_2015: all characters numeric; replaced as double
(1 missing value generated)
var14_5_20_2015: all characters numeric; replaced as double
(1 missing value generated)
var15_5_21_2015: all characters numeric; replaced as double
(1 missing value generated)
var16_5_22_2015: all characters numeric; replaced as double
(1 missing value generated)
var17_5_25_2015: all characters numeric; replaced as double
(1 missing value generated)
var18_5_26_2015: all characters numeric; replaced as double
(1 missing value generated)
var19_5_27_2015: all characters numeric; replaced as double
(1 missing value generated)
var20_5_28_2015: all characters numeric; replaced as double
(1 missing value generated)
var21_5_29_2015: all characters numeric; replaced as double
(1 missing value generated)
var22__6_1_2015: all characters numeric; replaced as double
(1 missing value generated)
var23__6_2_2015: all characters numeric; replaced as double
(1 missing value generated)
var24__6_3_2015: all characters numeric; replaced as double
(1 missing value generated)
var25__6_4_2015: all characters numeric; replaced as double
(1 missing value generated)
var26__6_5_2015: all characters numeric; replaced as double
(1 missing value generated)
var27__6_8_2015: all characters numeric; replaced as double
(1 missing value generated)
var28__6_9_2015: all characters numeric; replaced as double
(1 missing value generated)
var29_6_10_2015: all characters numeric; replaced as double
(1 missing value generated)
var30_6_11_2015: all characters numeric; replaced as double
(1 missing value generated)
var31_6_12_2015: all characters numeric; replaced as double
(1 missing value generated)
var32_6_15_2015: all characters numeric; replaced as double
(1 missing value generated)
var33_6_16_2015: all characters numeric; replaced as double
(1 missing value generated)
var34_6_17_2015: all characters numeric; replaced as double
(1 missing value generated)
var35_6_18_2015: all characters numeric; replaced as double
(1 missing value generated)
var36_6_19_2015: all characters numeric; replaced as double
(1 missing value generated)
var37_6_22_2015: all characters numeric; replaced as double
(1 missing value generated)
var38_6_23_2015: all characters numeric; replaced as double
(1 missing value generated)
var39_6_24_2015: all characters numeric; replaced as double
var40_6_25_2015: all characters numeric; replaced as double
var41_6_26_2015: all characters numeric; replaced as double
var42_6_29_2015: all characters numeric; replaced as double
var43_6_30_2015: all characters numeric; replaced as double
var44__7_1_2015: all characters numeric; replaced as double
var45__7_2_2015: all characters numeric; replaced as double
var46__7_3_2015: all characters numeric; replaced as double
var47__7_6_2015: all characters numeric; replaced as double
var48__7_7_2015: all characters numeric; replaced as double
var49__7_8_2015: all characters numeric; replaced as double
var50__7_9_2015: all characters numeric; replaced as double
var51_7_10_2015: all characters numeric; replaced as double
var52_7_13_2015: all characters numeric; replaced as double
var53_7_14_2015: all characters numeric; replaced as double
var54_7_15_2015: all characters numeric; replaced as double
var55_7_16_2015: all characters numeric; replaced as double
var56_7_17_2015: all characters numeric; replaced as double
var57_7_20_2015: all characters numeric; replaced as double
var58_7_21_2015: all characters numeric; replaced as double
var59_7_22_2015: all characters numeric; replaced as double
var60_7_23_2015: all characters numeric; replaced as double
var61_7_24_2015: all characters numeric; replaced as double
var62_7_27_2015: all characters numeric; replaced as double
var63_7_28_2015: all characters numeric; replaced as double
var64_7_29_2015: all characters numeric; replaced as double
var65_7_30_2015: all characters numeric; replaced as double
var66_7_31_2015: all characters numeric; replaced as double
var67__8_3_2015: all characters numeric; replaced as double
var68__8_4_2015: all characters numeric; replaced as double
var69__8_5_2015: all characters numeric; replaced as double
var70__8_6_2015: all characters numeric; replaced as double
var71__8_7_2015: all characters numeric; replaced as double
var72_8_10_2015: all characters numeric; replaced as double
var73_8_11_2015: all characters numeric; replaced as double
var74_8_12_2015: all characters numeric; replaced as double
var75_8_13_2015: all characters numeric; replaced as double
var76_8_14_2015: all characters numeric; replaced as double
var77_8_17_2015: all characters numeric; replaced as double
var78_8_18_2015: all characters numeric; replaced as double
var79_8_19_2015: all characters numeric; replaced as double
var80_8_20_2015: all characters numeric; replaced as double
var81_8_21_2015: all characters numeric; replaced as double
var82_8_24_2015: all characters numeric; replaced as double
var83_8_25_2015: all characters numeric; replaced as double
var84_8_26_2015: all characters numeric; replaced as double
var85_8_27_2015: all characters numeric; replaced as double
var86_8_28_2015: all characters numeric; replaced as double
var87_8_31_2015: all characters numeric; replaced as double
var88__9_1_2015: all characters numeric; replaced as double
var89__9_2_2015: all characters numeric; replaced as double
var90__9_3_2015: all characters numeric; replaced as double
var91__9_4_2015: all characters numeric; replaced as double
var92__9_7_2015: all characters numeric; replaced as double
var93__9_8_2015: all characters numeric; replaced as double
var94__9_9_2015: all characters numeric; replaced as double
var95_9_10_2015: all characters numeric; replaced as double
var96_9_11_2015: all characters numeric; replaced as double
var97_9_14_2015: all characters numeric; replaced as double
var98_9_15_2015: all characters numeric; replaced as double
var99_9_16_2015: all characters numeric; replaced as double
var100_9_17_2015: all characters numeric; replaced as double
var101_9_18_2015: all characters numeric; replaced as double
var102_9_21_2015: all characters numeric; replaced as double
var103_9_22_2015: all characters numeric; replaced as double
var104_9_23_2015: all characters numeric; replaced as double
var105_9_24_2015: all characters numeric; replaced as double
var106_9_25_2015: all characters numeric; replaced as double
var107_9_28_2015: all characters numeric; replaced as double
var108_9_29_2015: all characters numeric; replaced as double
var109_9_30_2015: all characters numeric; replaced as double
var110_10_1_2015: all characters numeric; replaced as double
var111_10_2_2015: all characters numeric; replaced as double
var112_10_5_2015: all characters numeric; replaced as double
var113_10_6_2015: all characters numeric; replaced as double
var114_10_7_2015: all characters numeric; replaced as double
var115_10_8_2015: all characters numeric; replaced as double
var116_10_9_2015: all characters numeric; replaced as double
var117_10_12_2015: all characters numeric; replaced as double
var118_10_13_2015: all characters numeric; replaced as double
var119_10_14_2015: all characters numeric; replaced as double
var120_10_15_2015: all characters numeric; replaced as double
var121_10_16_2015: all characters numeric; replaced as double
var122_10_19_2015: all characters numeric; replaced as double
var123_10_20_2015: all characters numeric; replaced as double
var124_10_21_2015: all characters numeric; replaced as double
var125_10_22_2015: all characters numeric; replaced as double
var126_10_23_2015: all characters numeric; replaced as double
var127_10_26_2015: all characters numeric; replaced as double
var128_10_27_2015: all characters numeric; replaced as double
var129_10_28_2015: all characters numeric; replaced as double
var130_10_29_2015: all characters numeric; replaced as double
var131_10_30_2015: all characters numeric; replaced as double
var132_11_2_2015: all characters numeric; replaced as double
var133_11_3_2015: all characters numeric; replaced as double
var134_11_4_2015: all characters numeric; replaced as double
var135_11_5_2015: all characters numeric; replaced as double
var136_11_6_2015: all characters numeric; replaced as double
var137_11_9_2015: all characters numeric; replaced as double
var138_11_10_2015: all characters numeric; replaced as double
var139_11_11_2015: all characters numeric; replaced as double
var140_11_12_2015: all characters numeric; replaced as double
var141_11_13_2015: all characters numeric; replaced as double
var142_11_16_2015: all characters numeric; replaced as double
var143_11_17_2015: all characters numeric; replaced as double
var144_11_18_2015: all characters numeric; replaced as double
var145_11_19_2015: all characters numeric; replaced as double
var146_11_20_2015: all characters numeric; replaced as double
var147_11_23_2015: all characters numeric; replaced as double
var148_11_24_2015: all characters numeric; replaced as double
var149_11_25_2015: all characters numeric; replaced as double
var150_11_26_2015: all characters numeric; replaced as double
var151_11_27_2015: all characters numeric; replaced as double
var152_11_30_2015: all characters numeric; replaced as double
var153_12_1_2015: all characters numeric; replaced as double
var154_12_2_2015: all characters numeric; replaced as double
var155_12_3_2015: all characters numeric; replaced as double
var156_12_4_2015: all characters numeric; replaced as double
var157_12_7_2015: all characters numeric; replaced as double
var158_12_8_2015: all characters numeric; replaced as double
var159_12_9_2015: all characters numeric; replaced as double
var160_12_10_2015: all characters numeric; replaced as double
var161_12_11_2015: all characters numeric; replaced as double
var162_12_14_2015: all characters numeric; replaced as double
var163_12_15_2015: all characters numeric; replaced as double
var164_12_16_2015: all characters numeric; replaced as double
var165_12_17_2015: all characters numeric; replaced as double
var166_12_18_2015: all characters numeric; replaced as double
var167_12_21_2015: all characters numeric; replaced as double
var168_12_22_2015: all characters numeric; replaced as double
var169_12_23_2015: all characters numeric; replaced as double
var170_12_24_2015: all characters numeric; replaced as double
var171_12_25_2015: all characters numeric; replaced as double
var172_12_28_2015: all characters numeric; replaced as double
var173_12_29_2015: all characters numeric; replaced as double
var174_12_30_2015: all characters numeric; replaced as double
var175_12_31_2015: all characters numeric; replaced as double
var176__1_1_2016: all characters numeric; replaced as double
var177__1_4_2016: all characters numeric; replaced as double
var178__1_5_2016: all characters numeric; replaced as double
var179__1_6_2016: all characters numeric; replaced as double
var180__1_7_2016: all characters numeric; replaced as double
var181__1_8_2016: all characters numeric; replaced as double
var182_1_11_2016: all characters numeric; replaced as double
var183_1_12_2016: all characters numeric; replaced as double
var184_1_13_2016: all characters numeric; replaced as double
var185_1_14_2016: all characters numeric; replaced as double
var186_1_15_2016: all characters numeric; replaced as double
var187_1_18_2016: all characters numeric; replaced as double
var188_1_19_2016: all characters numeric; replaced as double
var189_1_20_2016: all characters numeric; replaced as double
var190_1_21_2016: all characters numeric; replaced as double
var191_1_22_2016: all characters numeric; replaced as double
var192_1_25_2016: all characters numeric; replaced as double
var193_1_26_2016: all characters numeric; replaced as double
var194_1_27_2016: all characters numeric; replaced as double
var195_1_28_2016: all characters numeric; replaced as double
var196_1_29_2016: all characters numeric; replaced as double
var197__2_1_2016: all characters numeric; replaced as double
var198__2_2_2016: all characters numeric; replaced as double
var199__2_3_2016: all characters numeric; replaced as double
var200__2_4_2016: all characters numeric; replaced as double
var201__2_5_2016: all characters numeric; replaced as double
var202__2_8_2016: all characters numeric; replaced as double
var203__2_9_2016: all characters numeric; replaced as double
var204_2_10_2016: all characters numeric; replaced as double
var205_2_11_2016: all characters numeric; replaced as double
var206_2_12_2016: all characters numeric; replaced as double
var207_2_15_2016: all characters numeric; replaced as double
var208_2_16_2016: all characters numeric; replaced as double
var209_2_17_2016: all characters numeric; replaced as double
var210_2_18_2016: all characters numeric; replaced as double
var211_2_19_2016: all characters numeric; replaced as double
var212_2_22_2016: all characters numeric; replaced as double
var213_2_23_2016: all characters numeric; replaced as double
var214_2_24_2016: all characters numeric; replaced as double
var215_2_25_2016: all characters numeric; replaced as double
var216_2_26_2016: all characters numeric; replaced as double
var217_2_29_2016: all characters numeric; replaced as double

. 
. 
. reshape long var`i', i(isincode) j(fyr, string)
(note: j = 100_9_17_2015 101_9_18_2015 102_9_21_2015 103_9_22_2015 104_9_
> 23_2015 105_9_24_2015 106_9_25_2015 107_9_28_2015 108_9_29_2015 109_9_3
> 0_2015 10_5_14_2015 110_10_1_2015 111_10_2_2015 112_10_5_2015 113_10_6_
> 2015 114_10_7_2015 115_10_8_2015 116_10_9_2015 117_10_12_2015 118_10_13
> _2015 119_10_14_2015 11_5_15_2015 120_10_15_2015 121_10_16_2015 122_10_
> 19_2015 123_10_20_2015 124_10_21_2015 125_10_22_2015 126_10_23_2015 127
> _10_26_2015 128_10_27_2015 129_10_28_2015 12_5_18_2015 130_10_29_2015 1
> 31_10_30_2015 132_11_2_2015 133_11_3_2015 134_11_4_2015 135_11_5_2015 1
> 36_11_6_2015 137_11_9_2015 138_11_10_2015 139_11_11_2015 13_5_19_2015 1
> 40_11_12_2015 141_11_13_2015 142_11_16_2015 143_11_17_2015 144_11_18_20
> 15 145_11_19_2015 146_11_20_2015 147_11_23_2015 148_11_24_2015 149_11_2
> 5_2015 14_5_20_2015 150_11_26_2015 151_11_27_2015 152_11_30_2015 153_12
> _1_2015 154_12_2_2015 155_12_3_2015 156_12_4_2015 157_12_7_2015 158_12_
> 8_2015 159_12_9_2015 15_5_21_2015 160_12_10_2015 161_12_11_2015 162_12_
> 14_2015 163_12_15_2015 164_12_16_2015 165_12_17_2015 166_12_18_2015 167
> _12_21_2015 168_12_22_2015 169_12_23_2015 16_5_22_2015 170_12_24_2015 1
> 71_12_25_2015 172_12_28_2015 173_12_29_2015 174_12_30_2015 175_12_31_20
> 15 176__1_1_2016 177__1_4_2016 178__1_5_2016 179__1_6_2016 17_5_25_2015
>  180__1_7_2016 181__1_8_2016 182_1_11_2016 183_1_12_2016 184_1_13_2016 
> 185_1_14_2016 186_1_15_2016 187_1_18_2016 188_1_19_2016 189_1_20_2016 1
> 8_5_26_2015 190_1_21_2016 191_1_22_2016 192_1_25_2016 193_1_26_2016 194
> _1_27_2016 195_1_28_2016 196_1_29_2016 197__2_1_2016 198__2_2_2016 199_
> _2_3_2016 19_5_27_2015 1__5_1_2015 200__2_4_2016 201__2_5_2016 202__2_8
> _2016 203__2_9_2016 204_2_10_2016 205_2_11_2016 206_2_12_2016 207_2_15_
> 2016 208_2_16_2016 209_2_17_2016 20_5_28_2015 210_2_18_2016 211_2_19_20
> 16 212_2_22_2016 213_2_23_2016 214_2_24_2016 215_2_25_2016 216_2_26_201
> 6 217_2_29_2016 21_5_29_2015 22__6_1_2015 23__6_2_2015 24__6_3_2015 25_
> _6_4_2015 26__6_5_2015 27__6_8_2015 28__6_9_2015 29_6_10_2015 2__5_4_20
> 15 30_6_11_2015 31_6_12_2015 32_6_15_2015 33_6_16_2015 34_6_17_2015 35_
> 6_18_2015 36_6_19_2015 37_6_22_2015 38_6_23_2015 39_6_24_2015 3__5_5_20
> 15 40_6_25_2015 41_6_26_2015 42_6_29_2015 43_6_30_2015 44__7_1_2015 45_
> _7_2_2015 46__7_3_2015 47__7_6_2015 48__7_7_2015 49__7_8_2015 4__5_6_20
> 15 50__7_9_2015 51_7_10_2015 52_7_13_2015 53_7_14_2015 54_7_15_2015 55_
> 7_16_2015 56_7_17_2015 57_7_20_2015 58_7_21_2015 59_7_22_2015 5__5_7_20
> 15 60_7_23_2015 61_7_24_2015 62_7_27_2015 63_7_28_2015 64_7_29_2015 65_
> 7_30_2015 66_7_31_2015 67__8_3_2015 68__8_4_2015 69__8_5_2015 6__5_8_20
> 15 70__8_6_2015 71__8_7_2015 72_8_10_2015 73_8_11_2015 74_8_12_2015 75_
> 8_13_2015 76_8_14_2015 77_8_17_2015 78_8_18_2015 79_8_19_2015 7_5_11_20
> 15 80_8_20_2015 81_8_21_2015 82_8_24_2015 83_8_25_2015 84_8_26_2015 85_
> 8_27_2015 86_8_28_2015 87_8_31_2015 88__9_1_2015 89__9_2_2015 8_5_12_20
> 15 90__9_3_2015 91__9_4_2015 92__9_7_2015 93__9_8_2015 94__9_9_2015 95_
> 9_10_2015 96_9_11_2015 97_9_14_2015 98_9_15_2015 99_9_16_2015 9_5_13_20
> 15)

Data                               wide   ->   long
-------------------------------------------------------------------------
> ----
Number of obs.                      103   ->   22351
Number of variables                 221   ->       6
j variable (217 values)                   ->   fyr
xij variables:
var100_9_17_2015 var101_9_18_2015 ... var9_5_13_2015->var
-------------------------------------------------------------------------
> ----

. save var`i', replace
file var.dta saved

. 
. rename var Price_unadjusted

. 
. gen TradingDay = regexs(1) if regexm(fyr, "^([0-9]+)_")

. destring TradingDay, replace
TradingDay: all characters numeric; replaced as int

. 
. gen DateOld = regexs(2) if regexm(fyr, "^([0-9]+)[_]+([0-9]+[_][0-9]+[_
> ][0-9]+)")

. 
. generate Date = date(Date, "MDY")

. format %td Date

. 
. bysort ISIN (TradingDay): gen Return_Unadj = ln(Price_unadjusted[_n]/Pr
> ice_unadjusted[_n-1])
(141 missing values generated)

. 
. replace Return_Unadj =  Return_Unadj*100 
(21,178 real changes made)

. 
. sum Return_Unadj if Date>td(22jun2015) & Date<td(29dec2015), d 

                        Return_Unadj
-------------------------------------------------------------
      Percentiles      Smallest
 1%    -7.350246      -98.39879
 5%    -4.048006      -52.16907
10%    -2.750146      -46.17651       Obs              13,903
25%    -1.232827      -37.42126       Sum of Wgt.      13,903

50%            0                      Mean          -.1396677
                        Largest       Std. Dev.      2.809261
75%     1.013278       21.53328
90%     2.358396       25.20156       Variance       7.891948
95%     3.488309       25.73966       Skewness      -3.936228
99%     7.377845       28.04304       Kurtosis       135.1004

. sum Return_Unadj if Date>td(22jun2015) & Date<td(29dec2015)

    Variable |        Obs        Mean    Std. Dev.       Min        Max
-------------+---------------------------------------------------------
Return_Unadj |     13,903   -.1396677    2.809261  -98.39879   28.04304

. 
. // Daily returns for clean patenting firms
. 
. clear

. import excel "${raw}Patents_US_top10Ratio_grant_0013.xlsx", sheet("Shee
> t2") cellrange(A4:HM47) firstrow allstring clear

. 
. rename (E-HM) var`i'#, addnumber(1)

. rename C isincode

. drop if missing(isincode)
(6 observations deleted)

. duplicates drop isincode, force

Duplicates in terms of isincode

(0 observations are duplicates)

. foreach v of var (var1-var217) {
  2.     local lbl : var label `v'
  3.         
.     local lbl = strtoname("`lbl'")
  4.         
.     rename `v' `v'`lbl'
  5. }

. destring (var1__5_1_2015-var217_2_29_2016), replace force
var1__5_1_2015: all characters numeric; replaced as double
var2__5_4_2015: all characters numeric; replaced as double
var3__5_5_2015: all characters numeric; replaced as double
var4__5_6_2015: all characters numeric; replaced as double
var5__5_7_2015: all characters numeric; replaced as double
var6__5_8_2015: all characters numeric; replaced as double
var7_5_11_2015: all characters numeric; replaced as double
var8_5_12_2015: all characters numeric; replaced as double
var9_5_13_2015: all characters numeric; replaced as double
var10_5_14_2015: all characters numeric; replaced as double
var11_5_15_2015: all characters numeric; replaced as double
var12_5_18_2015: all characters numeric; replaced as double
var13_5_19_2015: all characters numeric; replaced as double
var14_5_20_2015: all characters numeric; replaced as double
var15_5_21_2015: all characters numeric; replaced as double
var16_5_22_2015: all characters numeric; replaced as double
var17_5_25_2015: all characters numeric; replaced as double
var18_5_26_2015: all characters numeric; replaced as double
var19_5_27_2015: all characters numeric; replaced as double
var20_5_28_2015: all characters numeric; replaced as double
var21_5_29_2015: all characters numeric; replaced as double
var22__6_1_2015: all characters numeric; replaced as double
var23__6_2_2015: all characters numeric; replaced as double
var24__6_3_2015: all characters numeric; replaced as double
var25__6_4_2015: all characters numeric; replaced as double
var26__6_5_2015: all characters numeric; replaced as double
var27__6_8_2015: all characters numeric; replaced as double
var28__6_9_2015: all characters numeric; replaced as double
var29_6_10_2015: all characters numeric; replaced as double
var30_6_11_2015: all characters numeric; replaced as double
var31_6_12_2015: all characters numeric; replaced as double
var32_6_15_2015: all characters numeric; replaced as double
var33_6_16_2015: all characters numeric; replaced as double
var34_6_17_2015: all characters numeric; replaced as double
var35_6_18_2015: all characters numeric; replaced as double
var36_6_19_2015: all characters numeric; replaced as double
var37_6_22_2015: all characters numeric; replaced as double
var38_6_23_2015: all characters numeric; replaced as double
var39_6_24_2015: all characters numeric; replaced as double
var40_6_25_2015: all characters numeric; replaced as double
var41_6_26_2015: all characters numeric; replaced as double
var42_6_29_2015: all characters numeric; replaced as double
var43_6_30_2015: all characters numeric; replaced as double
var44__7_1_2015: all characters numeric; replaced as double
var45__7_2_2015: all characters numeric; replaced as double
var46__7_3_2015: all characters numeric; replaced as double
var47__7_6_2015: all characters numeric; replaced as double
var48__7_7_2015: all characters numeric; replaced as double
var49__7_8_2015: all characters numeric; replaced as double
var50__7_9_2015: all characters numeric; replaced as double
var51_7_10_2015: all characters numeric; replaced as double
var52_7_13_2015: all characters numeric; replaced as double
var53_7_14_2015: all characters numeric; replaced as double
var54_7_15_2015: all characters numeric; replaced as double
var55_7_16_2015: all characters numeric; replaced as double
var56_7_17_2015: all characters numeric; replaced as double
var57_7_20_2015: all characters numeric; replaced as double
var58_7_21_2015: all characters numeric; replaced as double
var59_7_22_2015: all characters numeric; replaced as double
var60_7_23_2015: all characters numeric; replaced as double
var61_7_24_2015: all characters numeric; replaced as double
var62_7_27_2015: all characters numeric; replaced as double
var63_7_28_2015: all characters numeric; replaced as double
var64_7_29_2015: all characters numeric; replaced as double
var65_7_30_2015: all characters numeric; replaced as double
var66_7_31_2015: all characters numeric; replaced as double
var67__8_3_2015: all characters numeric; replaced as double
var68__8_4_2015: all characters numeric; replaced as double
var69__8_5_2015: all characters numeric; replaced as double
var70__8_6_2015: all characters numeric; replaced as double
var71__8_7_2015: all characters numeric; replaced as double
var72_8_10_2015: all characters numeric; replaced as double
var73_8_11_2015: all characters numeric; replaced as double
var74_8_12_2015: all characters numeric; replaced as double
var75_8_13_2015: all characters numeric; replaced as double
var76_8_14_2015: all characters numeric; replaced as double
var77_8_17_2015: all characters numeric; replaced as double
var78_8_18_2015: all characters numeric; replaced as double
var79_8_19_2015: all characters numeric; replaced as double
var80_8_20_2015: all characters numeric; replaced as double
var81_8_21_2015: all characters numeric; replaced as double
var82_8_24_2015: all characters numeric; replaced as double
var83_8_25_2015: all characters numeric; replaced as double
var84_8_26_2015: all characters numeric; replaced as double
var85_8_27_2015: all characters numeric; replaced as double
var86_8_28_2015: all characters numeric; replaced as double
var87_8_31_2015: all characters numeric; replaced as double
var88__9_1_2015: all characters numeric; replaced as double
var89__9_2_2015: all characters numeric; replaced as double
var90__9_3_2015: all characters numeric; replaced as double
var91__9_4_2015: all characters numeric; replaced as double
var92__9_7_2015: all characters numeric; replaced as double
var93__9_8_2015: all characters numeric; replaced as double
var94__9_9_2015: all characters numeric; replaced as double
var95_9_10_2015: all characters numeric; replaced as double
var96_9_11_2015: all characters numeric; replaced as double
var97_9_14_2015: all characters numeric; replaced as double
var98_9_15_2015: all characters numeric; replaced as double
var99_9_16_2015: all characters numeric; replaced as double
var100_9_17_2015: all characters numeric; replaced as double
var101_9_18_2015: all characters numeric; replaced as double
var102_9_21_2015: all characters numeric; replaced as double
var103_9_22_2015: all characters numeric; replaced as double
var104_9_23_2015: all characters numeric; replaced as double
var105_9_24_2015: all characters numeric; replaced as double
var106_9_25_2015: all characters numeric; replaced as double
var107_9_28_2015: all characters numeric; replaced as double
var108_9_29_2015: all characters numeric; replaced as double
var109_9_30_2015: all characters numeric; replaced as double
var110_10_1_2015: all characters numeric; replaced as double
var111_10_2_2015: all characters numeric; replaced as double
var112_10_5_2015: all characters numeric; replaced as double
var113_10_6_2015: all characters numeric; replaced as double
var114_10_7_2015: all characters numeric; replaced as double
var115_10_8_2015: all characters numeric; replaced as double
var116_10_9_2015: all characters numeric; replaced as double
var117_10_12_2015: all characters numeric; replaced as double
var118_10_13_2015: all characters numeric; replaced as double
var119_10_14_2015: all characters numeric; replaced as double
var120_10_15_2015: all characters numeric; replaced as double
var121_10_16_2015: all characters numeric; replaced as double
var122_10_19_2015: all characters numeric; replaced as double
var123_10_20_2015: all characters numeric; replaced as double
var124_10_21_2015: all characters numeric; replaced as double
var125_10_22_2015: all characters numeric; replaced as double
var126_10_23_2015: all characters numeric; replaced as double
var127_10_26_2015: all characters numeric; replaced as double
var128_10_27_2015: all characters numeric; replaced as double
var129_10_28_2015: all characters numeric; replaced as double
var130_10_29_2015: all characters numeric; replaced as double
var131_10_30_2015: all characters numeric; replaced as double
var132_11_2_2015: all characters numeric; replaced as double
var133_11_3_2015: all characters numeric; replaced as double
var134_11_4_2015: all characters numeric; replaced as double
var135_11_5_2015: all characters numeric; replaced as double
var136_11_6_2015: all characters numeric; replaced as double
var137_11_9_2015: all characters numeric; replaced as double
var138_11_10_2015: all characters numeric; replaced as double
var139_11_11_2015: all characters numeric; replaced as double
var140_11_12_2015: all characters numeric; replaced as double
var141_11_13_2015: all characters numeric; replaced as double
var142_11_16_2015: all characters numeric; replaced as double
var143_11_17_2015: all characters numeric; replaced as double
var144_11_18_2015: all characters numeric; replaced as double
var145_11_19_2015: all characters numeric; replaced as double
var146_11_20_2015: all characters numeric; replaced as double
var147_11_23_2015: all characters numeric; replaced as double
var148_11_24_2015: all characters numeric; replaced as double
var149_11_25_2015: all characters numeric; replaced as double
var150_11_26_2015: all characters numeric; replaced as double
var151_11_27_2015: all characters numeric; replaced as double
var152_11_30_2015: all characters numeric; replaced as double
var153_12_1_2015: all characters numeric; replaced as double
var154_12_2_2015: all characters numeric; replaced as double
var155_12_3_2015: all characters numeric; replaced as double
var156_12_4_2015: all characters numeric; replaced as double
var157_12_7_2015: all characters numeric; replaced as double
var158_12_8_2015: all characters numeric; replaced as double
var159_12_9_2015: all characters numeric; replaced as double
var160_12_10_2015: all characters numeric; replaced as double
var161_12_11_2015: all characters numeric; replaced as double
var162_12_14_2015: all characters numeric; replaced as double
var163_12_15_2015: all characters numeric; replaced as double
var164_12_16_2015: all characters numeric; replaced as double
var165_12_17_2015: all characters numeric; replaced as double
var166_12_18_2015: all characters numeric; replaced as double
var167_12_21_2015: all characters numeric; replaced as double
var168_12_22_2015: all characters numeric; replaced as double
var169_12_23_2015: all characters numeric; replaced as double
var170_12_24_2015: all characters numeric; replaced as double
var171_12_25_2015: all characters numeric; replaced as double
var172_12_28_2015: all characters numeric; replaced as double
var173_12_29_2015: all characters numeric; replaced as double
var174_12_30_2015: all characters numeric; replaced as double
var175_12_31_2015: all characters numeric; replaced as double
var176__1_1_2016: all characters numeric; replaced as double
var177__1_4_2016: all characters numeric; replaced as double
var178__1_5_2016: all characters numeric; replaced as double
var179__1_6_2016: all characters numeric; replaced as double
var180__1_7_2016: all characters numeric; replaced as double
var181__1_8_2016: all characters numeric; replaced as double
var182_1_11_2016: all characters numeric; replaced as double
var183_1_12_2016: all characters numeric; replaced as double
var184_1_13_2016: all characters numeric; replaced as double
var185_1_14_2016: all characters numeric; replaced as double
var186_1_15_2016: all characters numeric; replaced as double
var187_1_18_2016: all characters numeric; replaced as double
var188_1_19_2016: all characters numeric; replaced as double
var189_1_20_2016: all characters numeric; replaced as double
var190_1_21_2016: all characters numeric; replaced as double
var191_1_22_2016: all characters numeric; replaced as double
var192_1_25_2016: all characters numeric; replaced as double
var193_1_26_2016: all characters numeric; replaced as double
var194_1_27_2016: all characters numeric; replaced as double
var195_1_28_2016: all characters numeric; replaced as double
var196_1_29_2016: all characters numeric; replaced as double
var197__2_1_2016: all characters numeric; replaced as double
var198__2_2_2016: all characters numeric; replaced as double
var199__2_3_2016: all characters numeric; replaced as double
var200__2_4_2016: all characters numeric; replaced as double
var201__2_5_2016: all characters numeric; replaced as double
var202__2_8_2016: all characters numeric; replaced as double
var203__2_9_2016: all characters numeric; replaced as double
var204_2_10_2016: all characters numeric; replaced as double
var205_2_11_2016: all characters numeric; replaced as double
var206_2_12_2016: all characters numeric; replaced as double
var207_2_15_2016: all characters numeric; replaced as double
var208_2_16_2016: all characters numeric; replaced as double
var209_2_17_2016: all characters numeric; replaced as double
var210_2_18_2016: all characters numeric; replaced as double
var211_2_19_2016: all characters numeric; replaced as double
var212_2_22_2016: all characters numeric; replaced as double
var213_2_23_2016: all characters numeric; replaced as double
var214_2_24_2016: all characters numeric; replaced as double
var215_2_25_2016: all characters numeric; replaced as double
var216_2_26_2016: all characters numeric; replaced as double
var217_2_29_2016: all characters numeric; replaced as double

. 
. 
. reshape long var`i', i(isincode) j(fyr, string)
(note: j = 100_9_17_2015 101_9_18_2015 102_9_21_2015 103_9_22_2015 104_9_
> 23_2015 105_9_24_2015 106_9_25_2015 107_9_28_2015 108_9_29_2015 109_9_3
> 0_2015 10_5_14_2015 110_10_1_2015 111_10_2_2015 112_10_5_2015 113_10_6_
> 2015 114_10_7_2015 115_10_8_2015 116_10_9_2015 117_10_12_2015 118_10_13
> _2015 119_10_14_2015 11_5_15_2015 120_10_15_2015 121_10_16_2015 122_10_
> 19_2015 123_10_20_2015 124_10_21_2015 125_10_22_2015 126_10_23_2015 127
> _10_26_2015 128_10_27_2015 129_10_28_2015 12_5_18_2015 130_10_29_2015 1
> 31_10_30_2015 132_11_2_2015 133_11_3_2015 134_11_4_2015 135_11_5_2015 1
> 36_11_6_2015 137_11_9_2015 138_11_10_2015 139_11_11_2015 13_5_19_2015 1
> 40_11_12_2015 141_11_13_2015 142_11_16_2015 143_11_17_2015 144_11_18_20
> 15 145_11_19_2015 146_11_20_2015 147_11_23_2015 148_11_24_2015 149_11_2
> 5_2015 14_5_20_2015 150_11_26_2015 151_11_27_2015 152_11_30_2015 153_12
> _1_2015 154_12_2_2015 155_12_3_2015 156_12_4_2015 157_12_7_2015 158_12_
> 8_2015 159_12_9_2015 15_5_21_2015 160_12_10_2015 161_12_11_2015 162_12_
> 14_2015 163_12_15_2015 164_12_16_2015 165_12_17_2015 166_12_18_2015 167
> _12_21_2015 168_12_22_2015 169_12_23_2015 16_5_22_2015 170_12_24_2015 1
> 71_12_25_2015 172_12_28_2015 173_12_29_2015 174_12_30_2015 175_12_31_20
> 15 176__1_1_2016 177__1_4_2016 178__1_5_2016 179__1_6_2016 17_5_25_2015
>  180__1_7_2016 181__1_8_2016 182_1_11_2016 183_1_12_2016 184_1_13_2016 
> 185_1_14_2016 186_1_15_2016 187_1_18_2016 188_1_19_2016 189_1_20_2016 1
> 8_5_26_2015 190_1_21_2016 191_1_22_2016 192_1_25_2016 193_1_26_2016 194
> _1_27_2016 195_1_28_2016 196_1_29_2016 197__2_1_2016 198__2_2_2016 199_
> _2_3_2016 19_5_27_2015 1__5_1_2015 200__2_4_2016 201__2_5_2016 202__2_8
> _2016 203__2_9_2016 204_2_10_2016 205_2_11_2016 206_2_12_2016 207_2_15_
> 2016 208_2_16_2016 209_2_17_2016 20_5_28_2015 210_2_18_2016 211_2_19_20
> 16 212_2_22_2016 213_2_23_2016 214_2_24_2016 215_2_25_2016 216_2_26_201
> 6 217_2_29_2016 21_5_29_2015 22__6_1_2015 23__6_2_2015 24__6_3_2015 25_
> _6_4_2015 26__6_5_2015 27__6_8_2015 28__6_9_2015 29_6_10_2015 2__5_4_20
> 15 30_6_11_2015 31_6_12_2015 32_6_15_2015 33_6_16_2015 34_6_17_2015 35_
> 6_18_2015 36_6_19_2015 37_6_22_2015 38_6_23_2015 39_6_24_2015 3__5_5_20
> 15 40_6_25_2015 41_6_26_2015 42_6_29_2015 43_6_30_2015 44__7_1_2015 45_
> _7_2_2015 46__7_3_2015 47__7_6_2015 48__7_7_2015 49__7_8_2015 4__5_6_20
> 15 50__7_9_2015 51_7_10_2015 52_7_13_2015 53_7_14_2015 54_7_15_2015 55_
> 7_16_2015 56_7_17_2015 57_7_20_2015 58_7_21_2015 59_7_22_2015 5__5_7_20
> 15 60_7_23_2015 61_7_24_2015 62_7_27_2015 63_7_28_2015 64_7_29_2015 65_
> 7_30_2015 66_7_31_2015 67__8_3_2015 68__8_4_2015 69__8_5_2015 6__5_8_20
> 15 70__8_6_2015 71__8_7_2015 72_8_10_2015 73_8_11_2015 74_8_12_2015 75_
> 8_13_2015 76_8_14_2015 77_8_17_2015 78_8_18_2015 79_8_19_2015 7_5_11_20
> 15 80_8_20_2015 81_8_21_2015 82_8_24_2015 83_8_25_2015 84_8_26_2015 85_
> 8_27_2015 86_8_28_2015 87_8_31_2015 88__9_1_2015 89__9_2_2015 8_5_12_20
> 15 90__9_3_2015 91__9_4_2015 92__9_7_2015 93__9_8_2015 94__9_9_2015 95_
> 9_10_2015 96_9_11_2015 97_9_14_2015 98_9_15_2015 99_9_16_2015 9_5_13_20
> 15)

Data                               wide   ->   long
-------------------------------------------------------------------------
> ----
Number of obs.                       37   ->    8029
Number of variables                 221   ->       6
j variable (217 values)                   ->   fyr
xij variables:
var100_9_17_2015 var101_9_18_2015 ... var9_5_13_2015->var
-------------------------------------------------------------------------
> ----

. save var`i', replace
file var.dta saved

. 
. rename var Price_unadjusted

. 
. gen TradingDay = regexs(1) if regexm(fyr, "^([0-9]+)_")

. destring TradingDay, replace
TradingDay: all characters numeric; replaced as int

. 
. gen DateOld = regexs(2) if regexm(fyr, "^([0-9]+)[_]+([0-9]+[_][0-9]+[_
> ][0-9]+)")

. 
. generate Date = date(Date, "MDY")

. format %td Date

. 
. bysort ISIN (TradingDay): gen Return_Unadj = ln(Price_unadjusted[_n]/Pr
> ice_unadjusted[_n-1])
(44 missing values generated)

. 
. replace Return_Unadj =  Return_Unadj*100 
(6,290 real changes made)

. 
. sum Return_Unadj if Date>td(22jun2015) & Date<td(29dec2015), d 

                        Return_Unadj
-------------------------------------------------------------
      Percentiles      Smallest
 1%    -13.28481      -230.2585
 5%    -4.297619      -230.2585
10%    -2.835523      -230.2585       Obs               4,989
25%    -1.083073      -135.4546       Sum of Wgt.       4,989

50%            0                      Mean          -.1748932
                        Largest       Std. Dev.      10.31873
75%     .7838567       135.4546
90%     2.449747       135.4546       Variance       106.4762
95%     3.986035       230.2585       Skewness      -2.403915
99%     15.41507       230.2585       Kurtosis       281.6157

. sum Return_Unadj if Date>td(22jun2015) & Date<td(29dec2015)

    Variable |        Obs        Mean    Std. Dev.       Min        Max
-------------+---------------------------------------------------------
Return_Unadj |      4,989   -.1748932    10.31873  -230.2585   230.2585

. 
. // Market capitalization for green firms
. 
. import excel "${raw}Top8XtileRun.xls", sheet("Sheet1") cellrange(A4:HM2
> 19) firstrow allstring clear

. drop N-HM

. drop if missing(ISIN)
(153 observations deleted)

. rename (E-M) var`i'#, addnumber(2008)

. destring (var2008-var2016), replace force
var2008: contains nonnumeric characters; replaced as long
(22 missing values generated)
var2009: contains nonnumeric characters; replaced as long
(20 missing values generated)
var2010: contains nonnumeric characters; replaced as long
(16 missing values generated)
var2011: contains nonnumeric characters; replaced as long
(16 missing values generated)
var2012: contains nonnumeric characters; replaced as long
(12 missing values generated)
var2013: contains nonnumeric characters; replaced as long
(11 missing values generated)
var2014: contains nonnumeric characters; replaced as long
(4 missing values generated)
var2015: contains nonnumeric characters; replaced as long
(1 missing value generated)
var2016: contains nonnumeric characters; replaced as long
(9 missing values generated)

. drop if missing(ISIN)
(0 observations deleted)

. reshape long var`i', i(ISIN) j(fyr, string)
(note: j = 2008 2009 2010 2011 2012 2013 2014 2015 2016)

Data                               wide   ->   long
-------------------------------------------------------------------------
> ----
Number of obs.                       62   ->     558
Number of variables                  13   ->       6
j variable (9 values)                     ->   fyr
xij variables:
            var2008 var2009 ... var2016   ->   var
-------------------------------------------------------------------------
> ----

. rename var MarketCapUSD

. rename fyr Year

. destring Year, replace force
Year: all characters numeric; replaced as int

. 
. gen MarketCapmUSD = MarketCapUSD/1000 // convert to million USD 
(111 missing values generated)

. sum MarketCapmUSD if Year==2013

    Variable |        Obs        Mean    Std. Dev.       Min        Max
-------------+---------------------------------------------------------
MarketCapm~D |         51    2147.291    4286.538     14.061   20834.07

. sum MarketCapmUSD if Year==2013 , d

                        MarketCapmUSD
-------------------------------------------------------------
      Percentiles      Smallest
 1%       14.061         14.061
 5%       21.833          15.76
10%       38.694         21.833       Obs                  51
25%      164.596         24.168       Sum of Wgt.          51

50%      362.162                      Mean           2147.291
                        Largest       Std. Dev.      4286.538
75%     1739.353       7538.297
90%     5437.059       11965.28       Variance       1.84e+07
95%     11965.28       18516.46       Skewness        3.05778
99%     20834.07       20834.07       Kurtosis       12.37479

. 
. // Market capitalization emission intensive firms (scope 1)
. 
. clear

. import excel "${raw}Trucost_US_top10_Sc1Run.xls", sheet("Sheet1") cellr
> ange(A4:Q106) firstrow allstring clear

. drop N-Q

. drop if missing(ISIN)
(0 observations deleted)

. rename (E-M) var`i'#, addnumber(2008)

. destring (var2008-var2016), replace force
var2008: contains nonnumeric characters; replaced as long
(5 missing values generated)
var2009: contains nonnumeric characters; replaced as long
(4 missing values generated)
var2010: contains nonnumeric characters; replaced as long
(4 missing values generated)
var2011: contains nonnumeric characters; replaced as long
(3 missing values generated)
var2012: contains nonnumeric characters; replaced as long
(2 missing values generated)
var2013: contains nonnumeric characters; replaced as long
(1 missing value generated)
var2014: contains nonnumeric characters; replaced as long
(1 missing value generated)
var2015: contains nonnumeric characters; replaced as long
(2 missing values generated)
var2016: contains nonnumeric characters; replaced as long
(4 missing values generated)

. drop if missing(ISIN)
(0 observations deleted)

. reshape long var`i', i(ISIN) j(fyr, string)
(note: j = 2008 2009 2010 2011 2012 2013 2014 2015 2016)

Data                               wide   ->   long
-------------------------------------------------------------------------
> ----
Number of obs.                      102   ->     918
Number of variables                  13   ->       6
j variable (9 values)                     ->   fyr
xij variables:
            var2008 var2009 ... var2016   ->   var
-------------------------------------------------------------------------
> ----

. rename var MarketCapUSD

. rename fyr Year

. destring Year, replace force
Year: all characters numeric; replaced as int

. 
. gen MarketCapmUSD = MarketCapUSD/1000
(26 missing values generated)

. sum MarketCapmUSD if Year==2013

    Variable |        Obs        Mean    Std. Dev.       Min        Max
-------------+---------------------------------------------------------
MarketCapm~D |        101    12092.59    13880.84    231.733   76608.17

. sum MarketCapmUSD if Year==2013 , d

                        MarketCapmUSD
-------------------------------------------------------------
      Percentiles      Smallest
 1%      281.484        231.733
 5%      927.909        281.484
10%      1577.94         336.41       Obs                 101
25%     3058.406         489.53       Sum of Wgt.         101

50%      7060.63                      Mean           12092.59
                        Largest       Std. Dev.      13880.84
75%     13880.68       39953.48
90%     28673.18       48721.06       Variance       1.93e+08
95%      37244.7       75698.73       Skewness       2.432809
99%     75698.73       76608.17       Kurtosis       10.44012

. 
. // Market capitalization for emission intensive firms (scope 2)
. 
. import excel "${raw}Trucost_US_top10_Sc2Run.xls", sheet("Sheet1") cellr
> ange(A4:Q107) firstrow allstring clear

. 
. drop N-Q

. drop if missing(ISIN)
(0 observations deleted)

. 
. rename (E-M) var`i'#, addnumber(2008)

. 
. destring (var2008-var2016), replace force
var2008: contains nonnumeric characters; replaced as long
(7 missing values generated)
var2009: contains nonnumeric characters; replaced as long
(6 missing values generated)
var2010: contains nonnumeric characters; replaced as long
(6 missing values generated)
var2011: contains nonnumeric characters; replaced as long
(5 missing values generated)
var2012: contains nonnumeric characters; replaced as long
(3 missing values generated)
var2013: contains nonnumeric characters; replaced as long
(2 missing values generated)
var2014: contains nonnumeric characters; replaced as long
(2 missing values generated)
var2015: all characters numeric; replaced as long
(1 missing value generated)
var2016: contains nonnumeric characters; replaced as long
(8 missing values generated)

. drop if missing(ISIN)
(0 observations deleted)

. 
. reshape long var`i', i(ISIN) j(fyr, string)
(note: j = 2008 2009 2010 2011 2012 2013 2014 2015 2016)

Data                               wide   ->   long
-------------------------------------------------------------------------
> ----
Number of obs.                      103   ->     927
Number of variables                  13   ->       6
j variable (9 values)                     ->   fyr
xij variables:
            var2008 var2009 ... var2016   ->   var
-------------------------------------------------------------------------
> ----

. 
. rename var MarketCapUSD

. rename fyr Year

. destring Year, replace force
Year: all characters numeric; replaced as int

. 
. // convert to million USD // 
. gen MarketCapmUSD = MarketCapUSD/1000
(40 missing values generated)

. sum MarketCapmUSD if Year==2013 , d

                        MarketCapmUSD
-------------------------------------------------------------
      Percentiles      Smallest
 1%      927.909        784.762
 5%     1118.317        927.909
10%     2493.019        974.655       Obs                 101
25%     4268.067        984.894       Sum of Wgt.         101

50%      8792.16                      Mean           13759.27
                        Largest       Std. Dev.      13373.65
75%      20137.3        47262.2
90%     26343.31       47545.88       Variance       1.79e+08
95%     39373.53       60226.28       Skewness       1.945274
99%     60226.28       75698.73       Kurtosis       7.759194

. 
. // Market capitalization for clean patenting firms
. 
. import excel "${raw}Patent_US_granted_Run.xls", sheet("Sheet1") cellran
> ge(A4:Q107) firstrow allstring clear

. drop N-Q

. drop if missing(ISIN)
(66 observations deleted)

. rename (E-M) var`i'#, addnumber(2008)

. destring (var2008-var2016), replace force
var2008: contains nonnumeric characters; replaced as long
(1 missing value generated)
var2009: all characters numeric; replaced as long
(1 missing value generated)
var2010: all characters numeric; replaced as long
(1 missing value generated)
var2011: contains nonnumeric characters; replaced as long
(3 missing values generated)
var2012: contains nonnumeric characters; replaced as long
(5 missing values generated)
var2013: contains nonnumeric characters; replaced as long
(6 missing values generated)
var2014: contains nonnumeric characters; replaced as long
(8 missing values generated)
var2015: contains nonnumeric characters; replaced as long
(7 missing values generated)
var2016: contains nonnumeric characters; replaced as long
(8 missing values generated)

. drop if missing(ISIN)
(0 observations deleted)

. reshape long var`i', i(ISIN) j(fyr, string)
(note: j = 2008 2009 2010 2011 2012 2013 2014 2015 2016)

Data                               wide   ->   long
-------------------------------------------------------------------------
> ----
Number of obs.                       37   ->     333
Number of variables                  13   ->       6
j variable (9 values)                     ->   fyr
xij variables:
            var2008 var2009 ... var2016   ->   var
-------------------------------------------------------------------------
> ----

. rename var MarketCapUSD

. rename fyr Year

. destring Year, replace force
Year: all characters numeric; replaced as int

. 
. gen MarketCapmUSD = MarketCapUSD/1000 // convert to million USD // 
(40 missing values generated)

. sum MarketCapmUSD if Year==2013, d

                        MarketCapmUSD
-------------------------------------------------------------
      Percentiles      Smallest
 1%       33.707         33.707
 5%       66.474         66.474
10%      147.324           90.8       Obs                  31
25%      282.175        147.324       Sum of Wgt.          31

50%     1236.984                      Mean           6867.259
                        Largest       Std. Dev.      10962.36
75%      9298.94       22798.71
90%     22798.71        26319.1       Variance       1.20e+08
95%     37584.89       37584.89       Skewness       1.900002
99%     39953.48       39953.48       Kurtosis       5.600469

. sum MarketCapmUSD if Year==2013

    Variable |        Obs        Mean    Std. Dev.       Min        Max
-------------+---------------------------------------------------------
MarketCapm~D |         31    6867.259    10962.36     33.707   39953.48

. 
. // 3-factor parameters
. 
. use "Market_US_MinGR_top8Xtile.dta", clear

. 
. sum MktNum if Date>td(22jun2015) & Date<td(29dec2015), d  

                           MktNum
-------------------------------------------------------------
      Percentiles      Smallest
 1%        -2.95           -3.9
 5%        -2.03          -2.95
10%        -1.39          -2.91       Obs                 131
25%          -.6          -2.63       Sum of Wgt.         131

50%         -.07                      Mean          -.0254199
                        Largest       Std. Dev.      1.131473
75%           .6           1.93
90%         1.39            2.4       Variance       1.280231
95%         1.81           2.52       Skewness      -.1959552
99%         2.52           3.68       Kurtosis       4.305056

. 
. sum SMBNum if Date>td(22jun2015) & Date<td(29dec2015), d 

                           SMBNum
-------------------------------------------------------------
      Percentiles      Smallest
 1%        -1.36          -1.69
 5%         -.87          -1.36
10%         -.72          -1.03       Obs                 131
25%          -.4          -1.02       Sum of Wgt.         131

50%         -.08                      Mean          -.0553435
                        Largest       Std. Dev.      .5459336
75%          .25            .91
90%           .7            .98       Variance       .2980435
95%          .85           1.43       Skewness       .2597881
99%         1.43           1.86       Kurtosis       3.844949

. 
. sum HMLNum if Date>td(22jun2015) & Date<td(29dec2015), d 

                           HMLNum
-------------------------------------------------------------
      Percentiles      Smallest
 1%         -1.2           -1.5
 5%          -.9           -1.2
10%         -.67          -1.06       Obs                 131
25%         -.41             -1       Sum of Wgt.         131

50%         -.07                      Mean          -.0278626
                        Largest       Std. Dev.      .5930352
75%          .33            1.4
90%          .67           1.64       Variance       .3516908
95%         1.14           1.87       Skewness       .6941623
99%         1.87           1.96       Kurtosis        4.09292

. 
. /*=====================================================================
> =========*/
. /* Table D1. Difference in intensive green revenue margin for CAAR */
. /*=====================================================================
> =========*/
. 
. use "List_EV2_US_MinGR_yes0913.dta", clear

. 
. eventstudy3 ISIN Date using Returns_EV2_US_MinGR_yes0913, returns(Retur
> n_Unadj) /// 
> car1LB(-20) car1UB(-16) ///
> car2LB(-15) car2UB(-11) ///
> car3LB(-10) car3UB(-6) ///
> car4LB(-5) car4UB(-1) ///
> car5LB(0) car5UB(5) ///
> car6LB(6) car6UB(10) ///
> evwlb(-20)  evwub(10) eswlb(-121) eswub(-21) ///
> mod(FM) ///
> logreturns ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> garch archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_CAR05_EV2_US_MinGR_yes0913)  ///
> crossfile(Cross04_EV2_US_MinGR_yes0913) ///
> carfile(Car_Diag_CAR05_EV2_US_MinGR_yes0913) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 249 events completed.
2 out of 249 events completed.
3 out of 249 events completed.
4 out of 249 events completed.
5 out of 249 events completed.
6 out of 249 events completed.
7 out of 249 events completed.
8 out of 249 events completed.
9 out of 249 events completed.
10 out of 249 events completed.
11 out of 249 events completed.
12 out of 249 events completed.
13 out of 249 events completed.
14 out of 249 events completed.
15 out of 249 events completed.
16 out of 249 events completed.
17 out of 249 events completed.
18 out of 249 events completed.
19 out of 249 events completed.
20 out of 249 events completed.
21 out of 249 events completed.
22 out of 249 events completed.
23 out of 249 events completed.
24 out of 249 events completed.
25 out of 249 events completed.
26 out of 249 events completed.
27 out of 249 events completed.
28 out of 249 events completed.
29 out of 249 events completed.
30 out of 249 events completed.
31 out of 249 events completed.
32 out of 249 events completed.
33 out of 249 events completed.
34 out of 249 events completed.
35 out of 249 events completed.
36 out of 249 events completed.
37 out of 249 events completed.
38 out of 249 events completed.
39 out of 249 events completed.
40 out of 249 events completed.
41 out of 249 events completed.
42 out of 249 events completed.
43 out of 249 events completed.
44 out of 249 events completed.
45 out of 249 events completed.
46 out of 249 events completed.
47 out of 249 events completed.
48 out of 249 events completed.
49 out of 249 events completed.
50 out of 249 events completed.
51 out of 249 events completed.
52 out of 249 events completed.
53 out of 249 events completed.
54 out of 249 events completed.
55 out of 249 events completed.
56 out of 249 events completed.
57 out of 249 events completed.
58 out of 249 events completed.
59 out of 249 events completed.
60 out of 249 events completed.
61 out of 249 events completed.
62 out of 249 events completed.
63 out of 249 events completed.
64 out of 249 events completed.
65 out of 249 events completed.
66 out of 249 events completed.
67 out of 249 events completed.
68 out of 249 events completed.
69 out of 249 events completed.
70 out of 249 events completed.
71 out of 249 events completed.
72 out of 249 events completed.
73 out of 249 events completed.
74 out of 249 events completed.
75 out of 249 events completed.
76 out of 249 events completed.
77 out of 249 events completed.
78 out of 249 events completed.
79 out of 249 events completed.
80 out of 249 events completed.
81 out of 249 events completed.
82 out of 249 events completed.
83 out of 249 events completed.
84 out of 249 events completed.
85 out of 249 events completed.
86 out of 249 events completed.
87 out of 249 events completed.
88 out of 249 events completed.
89 out of 249 events completed.
90 out of 249 events completed.
91 out of 249 events completed.
92 out of 249 events completed.
93 out of 249 events completed.
94 out of 249 events completed.
95 out of 249 events completed.
96 out of 249 events completed.
97 out of 249 events completed.
98 out of 249 events completed.
99 out of 249 events completed.
100 out of 249 events completed.
101 out of 249 events completed.
102 out of 249 events completed.
103 out of 249 events completed.
104 out of 249 events completed.
105 out of 249 events completed.
106 out of 249 events completed.
107 out of 249 events completed.
108 out of 249 events completed.
109 out of 249 events completed.
110 out of 249 events completed.
111 out of 249 events completed.
112 out of 249 events completed.
113 out of 249 events completed.
114 out of 249 events completed.
115 out of 249 events completed.
116 out of 249 events completed.
117 out of 249 events completed.
118 out of 249 events completed.
119 out of 249 events completed.
120 out of 249 events completed.
121 out of 249 events completed.
122 out of 249 events completed.
123 out of 249 events completed.
124 out of 249 events completed.
125 out of 249 events completed.
126 out of 249 events completed.
127 out of 249 events completed.
128 out of 249 events completed.
129 out of 249 events completed.
130 out of 249 events completed.
131 out of 249 events completed.
132 out of 249 events completed.
133 out of 249 events completed.
134 out of 249 events completed.
135 out of 249 events completed.
136 out of 249 events completed.
137 out of 249 events completed.
138 out of 249 events completed.
139 out of 249 events completed.
140 out of 249 events completed.
141 out of 249 events completed.
142 out of 249 events completed.
143 out of 249 events completed.
144 out of 249 events completed.
145 out of 249 events completed.
146 out of 249 events completed.
147 out of 249 events completed.
148 out of 249 events completed.
149 out of 249 events completed.
150 out of 249 events completed.
151 out of 249 events completed.
152 out of 249 events completed.
153 out of 249 events completed.
154 out of 249 events completed.
155 out of 249 events completed.
156 out of 249 events completed.
157 out of 249 events completed.
158 out of 249 events completed.
159 out of 249 events completed.
160 out of 249 events completed.
161 out of 249 events completed.
162 out of 249 events completed.
163 out of 249 events completed.
164 out of 249 events completed.
165 out of 249 events completed.
166 out of 249 events completed.
167 out of 249 events completed.
168 out of 249 events completed.
169 out of 249 events completed.
170 out of 249 events completed.
171 out of 249 events completed.
172 out of 249 events completed.
173 out of 249 events completed.
174 out of 249 events completed.
175 out of 249 events completed.
176 out of 249 events completed.
177 out of 249 events completed.
178 out of 249 events completed.
179 out of 249 events completed.
180 out of 249 events completed.
181 out of 249 events completed.
182 out of 249 events completed.
183 out of 249 events completed.
184 out of 249 events completed.
185 out of 249 events completed.
186 out of 249 events completed.
187 out of 249 events completed.
188 out of 249 events completed.
189 out of 249 events completed.
190 out of 249 events completed.
191 out of 249 events completed.
192 out of 249 events completed.
193 out of 249 events completed.
194 out of 249 events completed.
195 out of 249 events completed.
196 out of 249 events completed.
197 out of 249 events completed.
198 out of 249 events completed.
199 out of 249 events completed.
200 out of 249 events completed.
201 out of 249 events completed.
202 out of 249 events completed.
203 out of 249 events completed.
204 out of 249 events completed.
205 out of 249 events completed.
206 out of 249 events completed.
207 out of 249 events completed.
208 out of 249 events completed.
209 out of 249 events completed.
210 out of 249 events completed.
211 out of 249 events completed.
212 out of 249 events completed.
213 out of 249 events completed.
214 out of 249 events completed.
215 out of 249 events completed.
216 out of 249 events completed.
217 out of 249 events completed.
218 out of 249 events completed.
219 out of 249 events completed.
220 out of 249 events completed.
221 out of 249 events completed.
222 out of 249 events completed.
223 out of 249 events completed.
224 out of 249 events completed.
225 out of 249 events completed.
226 out of 249 events completed.
227 out of 249 events completed.
228 out of 249 events completed.
229 out of 249 events completed.
230 out of 249 events completed.
231 out of 249 events completed.
232 out of 249 events completed.
233 out of 249 events completed.
234 out of 249 events completed.
235 out of 249 events completed.
236 out of 249 events completed.
237 out of 249 events completed.
238 out of 249 events completed.
239 out of 249 events completed.
240 out of 249 events completed.
241 out of 249 events completed.
242 out of 249 events completed.
243 out of 249 events completed.
244 out of 249 events completed.
245 out of 249 events completed.
246 out of 249 events completed.
247 out of 249 events completed.
248 out of 249 events completed.
249 out of 249 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded

Warning: Some CAR window definitions (options carXLB and carXUB) have bee
> n changed because they were outside the event window.

Number of events in the event file: 250
-- thereof: Number of events for which security identifiers and event dat
> es are available: 250
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 250
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 249

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 1
Number of events with insufficient market index/factor return data: 1

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 1
Number of events with insufficient market/index factor return data: 1
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 1


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20       249    .0033595                     ***                    
> **                                   ***      ***  
    -19       249   -.0004694                                            
>  *                                     *           
    -18       249   -.0121312      ***    **      ***          **       *
> **       **        **       **       ***      ***  
    -17       249   -.0024356                                            
>                                                    
    -16       249    .0036949                     ***                   *
> **        *         *        *       ***      ***  
    -15       249   -.0016979                                            
>                                                    
    -14       249   -.0008185                                            
>                                      ***      ***  
    -13       249     .002068                                            
>                                                    
    -12       249     -.00343                                            
>                                        *           
    -11       249    .0034343                     ***                   *
> **                                   ***      ***  
    -10       249    .0057719        *            ***                   *
> **        *                          ***      ***  
     -9       249    .0051625        *                                   
>                                                    
     -8       249   -.0018638                     ***                    
> **                                                 
     -7       249     .004233                                            
>                                                **  
     -6       249    .0034894                                            
>                                                **  
     -5       249   -.0011387                                            
>                                       **           
     -4       249   -.0030771                                            
>                                                    
     -3       249    .0105135      ***    **      ***           *       *
> **        *         *                ***      ***  
     -2       249   -.0011312                     ***                    
> **                                                 
     -1       249    .0139686      ***   ***      ***                    
> **                                   ***       **  
      0       249   -.0027647                       *                    
>  *                                                 
      1       249    .0006863                                            
>                                                    
      2       249    .0117523      ***    **      ***         ***       *
> **       **        **       **       ***      ***  
      3       249    .0085809      ***     *      ***           *       *
> **                  *                ***      ***  
      4       249    .0041606                     ***                   *
> **                                    **       **  
      5       249    .0053143        *                                   
>                                                    
      6       249   -.0055531        *                                   
>                                                    
      7       249    .0041908                      **                   *
> **                                             **  
      8       249    .0015033                                            
> **                                              *  
      9       249   -.0000145                                            
>  *                                     *           
     10       249   -.0046063                       *                    
> **                                   ***      ***  

            t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ  
>  Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   W
> ilcox  
    [-20;-16]       249   -.0079819                       *              
>                                                                        
>        
    [-15;-11]       249   -.0004441                                      
>                                                                        
>        
     [-10;-6]       249     .016793      ***            ***              
>       **                                                               
>        
      [-5;-1]       249    .0191351      ***     *      ***              
>        *                                                               
>   ***  
        [0;5]       249    .0277297      ***    **      ***         ***  
>      ***                        *              *        **             
>   ***  
       [6;10]       249   -.0044798                     ***              
>        *                                               ***        *    
>        
     [-20;10]       249    .0507519      ***     *      ***         ***  
>      ***                                               ***       **    
>   ***  
     [-20;10]       249    .0507519      ***     *      ***         ***  
>      ***                                               ***       **    
>   ***  
     [-20;10]       249    .0507519      ***     *      ***         ***  
>      ***                                               ***       **    
>   ***  
     [-20;10]       249    .0507519      ***     *      ***         ***  
>      ***                                               ***       **    
>   ***  
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  aarfile
Cumulative average abnormal returns:  Car_Diag_CAR05_EV2_US_MinGR_yes0913
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  Cross04_EV2_US
> _MinGR_yes0913
Diagnostic of events that are excluded:  Diag_CAR05_EV2_US_MinGR_yes0913
Logfile:  Diag_CAR05_EV2_US_MinGR_yes0913

. 
. use "Cross04_EV2_US_MinGR_yes0913", clear

. 
. sum CAR5 // mean 0.0277 sd 0.1155 N = 249

    Variable |        Obs        Mean    Std. Dev.       Min        Max
-------------+---------------------------------------------------------
        CAR5 |        249    .0277297    .1154768  -.2939181   .5992341

.         
. use "List_US_MinGR_top57Xtile.dta", clear

. 
. eventstudy3 ISIN Date using Returns_US_MinGR_top57Xtile, returns(Return
> _Unadj) /// 
> car1LB(-20) car1UB(-16) ///
> car2LB(-15) car2UB(-11) ///
> car3LB(-10) car3UB(-6) ///
> car4LB(-5) car4UB(-1) ///
> car5LB(0) car5UB(5) ///
> car6LB(6) car6UB(10) ///
> evwlb(-20)  evwub(10) eswlb(-121) eswub(-21) ///
> mod(FM) ///
> logreturns ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_CAR05_US_MinGR_top57Xtile)  ///
> crossfile(Cross04_US_MinGR_top57Xtile) ///
> carfile(Car_Diag_CAR05_US_MinGR_top57Xtile) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 63 events completed.
2 out of 63 events completed.
3 out of 63 events completed.
4 out of 63 events completed.
5 out of 63 events completed.
6 out of 63 events completed.
7 out of 63 events completed.
8 out of 63 events completed.
9 out of 63 events completed.
10 out of 63 events completed.
11 out of 63 events completed.
12 out of 63 events completed.
13 out of 63 events completed.
14 out of 63 events completed.
15 out of 63 events completed.
16 out of 63 events completed.
17 out of 63 events completed.
18 out of 63 events completed.
19 out of 63 events completed.
20 out of 63 events completed.
21 out of 63 events completed.
22 out of 63 events completed.
23 out of 63 events completed.
24 out of 63 events completed.
25 out of 63 events completed.
26 out of 63 events completed.
27 out of 63 events completed.
28 out of 63 events completed.
29 out of 63 events completed.
30 out of 63 events completed.
31 out of 63 events completed.
32 out of 63 events completed.
33 out of 63 events completed.
34 out of 63 events completed.
35 out of 63 events completed.
36 out of 63 events completed.
37 out of 63 events completed.
38 out of 63 events completed.
39 out of 63 events completed.
40 out of 63 events completed.
41 out of 63 events completed.
42 out of 63 events completed.
43 out of 63 events completed.
44 out of 63 events completed.
45 out of 63 events completed.
46 out of 63 events completed.
47 out of 63 events completed.
48 out of 63 events completed.
49 out of 63 events completed.
50 out of 63 events completed.
51 out of 63 events completed.
52 out of 63 events completed.
53 out of 63 events completed.
54 out of 63 events completed.
55 out of 63 events completed.
56 out of 63 events completed.
57 out of 63 events completed.
58 out of 63 events completed.
59 out of 63 events completed.
60 out of 63 events completed.
61 out of 63 events completed.
62 out of 63 events completed.
63 out of 63 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded

Warning: Some CAR window definitions (options carXLB and carXUB) have bee
> n changed because they were outside the event window.

Number of events in the event file: 63
-- thereof: Number of events for which security identifiers and event dat
> es are available: 63
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 63
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 63

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        63    .0012125                                            
>                                                    
    -19        63   -.0024037                                            
>                                                    
    -18        63   -.0131519      ***   ***      ***         ***       *
> **       **         *        *                 **  
    -17        63   -.0004402                                            
>                                                    
    -16        63    .0020204                                            
>  *                                                 
    -15        63   -.0051615                                            
>                                                 *  
    -14        63   -.0068766        *             **                   *
> **       **        **       **       ***      ***  
    -13        63    .0027555                                            
>                                                    
    -12        63   -.0079073       **              *                    
>                                                    
    -11        63     .002513                                            
>                                                    
    -10        63    .0059994                                            
> **                                                 
     -9        63    .0052834                                            
>                                                    
     -8        63   -.0002407                                            
>                                                    
     -7        63    .0092988       **     *                             
>                                                **  
     -6        63   -.0037051                                            
>                                                    
     -5        63   -.0021104                                            
>                                                    
     -4        63   -.0119773      ***    **                             
>                                                    
     -3        63    .0119511      ***    **      ***           *       *
> **       **                           **       **  
     -2        63     .001047                                            
>                                                    
     -1        63    .0045692                                            
>                                                    
      0        63   -.0074958        *              *                    
>                                                    
      1        63   -.0001383                                            
>                                                    
      2        63    .0129864      ***    **      ***         ***       *
> **       **        **        *        **       **  
      3        63    .0127988      ***    **      ***          **        
> **        *        **        *       ***      ***  
      4        63    .0120401      ***    **      ***          **       *
> **       **         *        *       ***      ***  
      5        63    .0075269        *             **           *        
>                                                 *  
      6        63   -.0128671      ***    **       **                    
>                                                    
      7        63    .0086061       **     *       **                    
> **                                             **  
      8        63   -.0002881                                            
>                                                    
      9        63    .0067844        *              *                    
>  *                                     *           
     10        63   -.0062958                                            
> **                           *         *       **  

            t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ  
>  Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   W
> ilcox  
    [-20;-16]        63    -.012763                                      
>                                                                        
>        
    [-15;-11]        63   -.0146769        *            ***         ***  
>       **        *                                                      
>    **  
     [-10;-6]        63    .0166358        *            ***          **  
>       **                                                **        *    
>     *  
      [-5;-1]        63    .0034796                                      
>                                                                        
>        
        [0;5]        63    .0377181      ***   ***      ***         ***  
>       **                       **             **        **        *    
>   ***  
       [6;10]        63   -.0040605                                      
>                                                                        
>        
     [-20;10]        63     .026333                                      
>                                                        ***             
>     *  
     [-20;10]        63     .026333                                      
>                                                        ***             
>     *  
     [-20;10]        63     .026333                                      
>                                                        ***             
>     *  
     [-20;10]        63     .026333                                      
>                                                        ***             
>     *  
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  aarfile
Cumulative average abnormal returns:  Car_Diag_CAR05_US_MinGR_top57Xtile
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  Cross04_US_Min
> GR_top57Xtile
Diagnostic of events that are excluded:  Diag_CAR05_US_MinGR_top57Xtile
Logfile:  Diag_CAR05_US_MinGR_top57Xtile

. 
. use "Cross04_US_MinGR_top57Xtile", clear

. 
. sum CAR5 // mean 0.0377 sd 0.124 N = 63

    Variable |        Obs        Mean    Std. Dev.       Min        Max
-------------+---------------------------------------------------------
        CAR5 |         63    .0377181    .1237126  -.1713869   .6135898

.                 
. use "List_US_MinGR_top5Xtile.dta", clear

. 
. eventstudy3 ISIN Date using Returns_US_MinGR_top5Xtile, returns(Return_
> Unadj) /// 
> car1LB(-20) car1UB(-16) ///
> car2LB(-15) car2UB(-11) ///
> car3LB(-10) car3UB(-6) ///
> car4LB(-5) car4UB(-1) ///
> car5LB(0) car5UB(5) ///
> car6LB(6) car6UB(10) ///
> evwlb(-20)  evwub(10) eswlb(-121) eswub(-21) ///
> mod(FM) ///
> logreturns ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_CAR05_US_MinGR_top5Xtile)  ///
> crossfile(Cross04_US_MinGR_top5Xtile) ///
> carfile(Car_Diag_CAR05_US_MinGR_top5Xtile) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 22 events completed.
2 out of 22 events completed.
3 out of 22 events completed.
4 out of 22 events completed.
5 out of 22 events completed.
6 out of 22 events completed.
7 out of 22 events completed.
8 out of 22 events completed.
9 out of 22 events completed.
10 out of 22 events completed.
11 out of 22 events completed.
12 out of 22 events completed.
13 out of 22 events completed.
14 out of 22 events completed.
15 out of 22 events completed.
16 out of 22 events completed.
17 out of 22 events completed.
18 out of 22 events completed.
19 out of 22 events completed.
20 out of 22 events completed.
21 out of 22 events completed.
22 out of 22 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded

Warning: Some CAR window definitions (options carXLB and carXUB) have bee
> n changed because they were outside the event window.

Number of events in the event file: 22
-- thereof: Number of events for which security identifiers and event dat
> es are available: 22
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 22
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 22

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        22    .0050553                                            
>                                                    
    -19        22   -.0029272                                            
>                                                    
    -18        22   -.0130507       **    **      ***          **       *
> **       **         *        *                  *  
    -17        22    .0097483        *     *                             
>  *                                              *  
    -16        22    .0066828                      **           *        
> **       **         *        *                     
    -15        22    .0009985                                            
>                                                    
    -14        22   -.0093525        *     *        *           *       *
> **      ***        **      ***       ***      ***  
    -13        22   -.0072999                                            
>                                                    
    -12        22    -.006523                                            
>                                                    
    -11        22   -.0017983                                            
>                                                    
    -10        22    .0011272                                            
>                                                    
     -9        22    .0070955                                            
>                                                    
     -8        22   -.0064772                                            
>                                                    
     -7        22    .0060031                                            
>                                                    
     -6        22   -.0122058       **    **        *           *        
> **       **        **       **       ***       **  
     -5        22   -.0035973                                            
>                                                    
     -4        22    .0068085                                            
>                                                    
     -3        22    .0049795                                            
>                                                    
     -2        22    .0051792                                            
>                                                    
     -1        22    .0055289                                            
>                                                    
      0        22   -.0189809      ***   ***       **          **        
>                                                    
      1        22     .002198                                            
>                                                    
      2        22    .0045554                                            
>                                                    
      3        22    .0107509       **    **       **          **       *
> **       **        **       **        **       **  
      4        22    .0140718       **   ***       **          **       *
> **       **        **       **        **      ***  
      5        22    .0030235                                            
>                                                    
      6        22    .0001861                                            
>                                                    
      7        22    .0037639                                            
>                                                    
      8        22    .0012056                                            
>                                                    
      9        22    .0094267        *     *                            *
> **       **         *       **                 **  
     10        22    .0014227                                            
>                                                    

            t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ  
>  Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   W
> ilcox  
    [-20;-16]        22    .0055084                                      
>                                                                        
>        
    [-15;-11]        22   -.0239752        *    **       **          **  
>                                                *                       
>    **  
     [-10;-6]        22   -.0044572                                      
>                                                                        
>        
      [-5;-1]        22    .0188988                      **          **  
>                                                                        
>        
        [0;5]        22    .0156188                                      
>                                                *                       
>    **  
       [6;10]        22    .0160049                      **          **  
>       **        *                                       **      ***    
>     *  
     [-20;10]        22    .0275985                                      
>                                                                        
>        
     [-20;10]        22    .0275985                                      
>                                                                        
>        
     [-20;10]        22    .0275985                                      
>                                                                        
>        
     [-20;10]        22    .0275985                                      
>                                                                        
>        
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  aarfile
Cumulative average abnormal returns:  Car_Diag_CAR05_US_MinGR_top5Xtile
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  Cross04_US_Min
> GR_top5Xtile
Diagnostic of events that are excluded:  Diag_CAR05_US_MinGR_top5Xtile
Logfile:  Diag_CAR05_US_MinGR_top5Xtile

. 
. use "Cross04_US_MinGR_top5Xtile", clear

. 
. sum CAR5 // mean 0.016 sd 0.0671 N = 22

    Variable |        Obs        Mean    Std. Dev.       Min        Max
-------------+---------------------------------------------------------
        CAR5 |         22    .0156188    .0671493  -.1180168   .2182404

.         
. use "List_US_MinGR_eq1.dta", clear

. 
. eventstudy3 ISIN Date using Returns_US_MinGR_eq1, returns(Return_Unadj)
>  /// 
> car1LB(-20) car1UB(-16) ///
> car2LB(-15) car2UB(-11) ///
> car3LB(-10) car3UB(-6) ///
> car4LB(-5) car4UB(-1) ///
> car5LB(0) car5UB(5) ///
> car6LB(6) car6UB(10) ///
> evwlb(-20)  evwub(10) eswlb(-121) eswub(-21) ///
> mod(FM) ///
> logreturns ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_CAR05_MinGR_eq1)  ///
> crossfile(Cross04_MinGR_eq1) ///
> carfile(Car_Diag_CAR05_MinGR_eq1) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 51 events completed.
2 out of 51 events completed.
3 out of 51 events completed.
4 out of 51 events completed.
5 out of 51 events completed.
6 out of 51 events completed.
7 out of 51 events completed.
8 out of 51 events completed.
9 out of 51 events completed.
10 out of 51 events completed.
11 out of 51 events completed.
12 out of 51 events completed.
13 out of 51 events completed.
14 out of 51 events completed.
15 out of 51 events completed.
16 out of 51 events completed.
17 out of 51 events completed.
18 out of 51 events completed.
19 out of 51 events completed.
20 out of 51 events completed.
21 out of 51 events completed.
22 out of 51 events completed.
23 out of 51 events completed.
24 out of 51 events completed.
25 out of 51 events completed.
26 out of 51 events completed.
27 out of 51 events completed.
28 out of 51 events completed.
29 out of 51 events completed.
30 out of 51 events completed.
31 out of 51 events completed.
32 out of 51 events completed.
33 out of 51 events completed.
34 out of 51 events completed.
35 out of 51 events completed.
36 out of 51 events completed.
37 out of 51 events completed.
38 out of 51 events completed.
39 out of 51 events completed.
40 out of 51 events completed.
41 out of 51 events completed.
42 out of 51 events completed.
43 out of 51 events completed.
44 out of 51 events completed.
45 out of 51 events completed.
46 out of 51 events completed.
47 out of 51 events completed.
48 out of 51 events completed.
49 out of 51 events completed.
50 out of 51 events completed.
51 out of 51 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded

Warning: Some CAR window definitions (options carXLB and carXUB) have bee
> n changed because they were outside the event window.

Number of events in the event file: 51
-- thereof: Number of events for which security identifiers and event dat
> es are available: 51
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 51
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 51

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        51    .0116709                                            
>                                                 *  
    -19        51    .0010542                                            
>                                                    
    -18        51   -.0272979      ***    **      ***         ***       *
> **       **        **       **        **      ***  
    -17        51   -.0061252                                            
>                                                    
    -16        51    .0001198                                            
>                                                    
    -15        51   -.0007967                                            
>                                                    
    -14        51    .0065085                                            
>                                        *           
    -13        51   -.0019708                                            
>                                                    
    -12        51   -.0068687                                            
>                                                    
    -11        51    .0029813                                            
>                                                    
    -10        51    .0078692                      **                    
> **                                    **           
     -9        51    .0207145       **     *      ***           *        
> **                                            ***  
     -8        51      .01023                      **                    
> **                                                 
     -7        51    .0067197                                            
>                                        *       **  
     -6        51   -.0089579                       *                    
> **                                             **  
     -5        51    .0016371                                            
>                                                    
     -4        51    .0019761                                            
>                                                    
     -3        51    .0187158       **     *      ***          **        
> **                                    **       **  
     -2        51    .0026554                                            
>                                                    
     -1        51    .0590901      ***   ***      ***         ***        
>                                                 *  
      0        51     .017169       **            ***          **       *
> **        *        **       **       ***      ***  
      1        51    .0122125                                            
>                                                    
      2        51    .0296898      ***   ***      ***         ***       *
> **       **        **       **       ***      ***  
      3        51    .0179846       **     *       **                    
>                                                **  
      4        51    .0206675       **     *      ***         ***       *
> **       **        **       **        **      ***  
      5        51    .0097126                      **                    
> **                                                 
      6        51   -.0181498       **     *       **                    
> **                                     *      ***  
      7        51   -.0078577                                            
>                                       **           
      8        51   -.0006813                                            
>                                                    
      9        51    .0036004                                            
>                                                    
     10        51   -.0049344                                            
>                                                    

            t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ  
>  Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   W
> ilcox  
    [-20;-16]        51   -.0205782                                      
>                                                                        
>        
    [-15;-11]        51   -.0001464                                      
>                                                                        
>        
     [-10;-6]        51    .0365756       **            ***         ***  
>      ***       **               *              *        **      ***    
>   ***  
      [-5;-1]        51    .0840746      ***   ***      ***         ***  
>        *                                                               
>   ***  
        [0;5]        51    .1074361      ***   ***      ***         ***  
>      ***      ***             ***            ***       ***      ***    
>   ***  
       [6;10]        51   -.0280229                      **              
>                                                                        
>    **  
     [-20;10]        51    .1793387      ***   ***      ***         ***  
>       **                        *              *       ***             
>   ***  
     [-20;10]        51    .1793387      ***   ***      ***         ***  
>       **                        *              *       ***             
>   ***  
     [-20;10]        51    .1793387      ***   ***      ***         ***  
>       **                        *              *       ***             
>   ***  
     [-20;10]        51    .1793387      ***   ***      ***         ***  
>       **                        *              *       ***             
>   ***  
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  aarfile
Cumulative average abnormal returns:  Car_Diag_CAR05_MinGR_eq1
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  Cross04_MinGR_
> eq1
Diagnostic of events that are excluded:  Diag_CAR05_MinGR_eq1
Logfile:  Diag_CAR05_MinGR_eq1

. 
. // GR 100% vs. GR>0
. use "Cross04_MinGR_eq1.dta", clear 

. sum CAR5 // mean 0.1074, sd = 0.1672, N = 51

    Variable |        Obs        Mean    Std. Dev.       Min        Max
-------------+---------------------------------------------------------
        CAR5 |         51    .1074361    .1672262  -.2772537   .6060422

. gen group = "A"

. append using "Cross04_EV2_US_MinGR_yes0913"

. replace group = "B" if group==""
(249 real changes made)

. ttest CAR5, by(group) 

Two-sample t test with equal variances
-------------------------------------------------------------------------
> -----
   Group |     Obs        Mean    Std. Err.   Std. Dev.   [95% Conf. Inte
> rval]
---------+---------------------------------------------------------------
> -----
       A |      51    .1074361    .0234164    .1672262    .0604029    .15
> 44692
       B |     249    .0277297     .007318    .1154768    .0133163    .04
> 21432
---------+---------------------------------------------------------------
> -----
combined |     300    .0412798    .0074467    .1289812    .0266251    .05
> 59344
---------+---------------------------------------------------------------
> -----
    diff |            .0797064    .0193135                .0416983    .11
> 77144
-------------------------------------------------------------------------
> -----
    diff = mean(A) - mean(B)                                      t =   4
> .1270
Ho: diff = 0                                     degrees of freedom =    
>   298

    Ha: diff < 0                 Ha: diff != 0                 Ha: diff >
>  0
 Pr(T < t) = 1.0000         Pr(|T| > |t|) = 0.0000          Pr(T > t) = 0
> .0000

. 
. // GR 100% vs. GR 25-96%
. use "Cross04_MinGR_eq1.dta", clear 

. gen group = "A"

. append using "Cross04_US_MinGR_top57Xtile"

. replace group = "B" if group==""
(63 real changes made)

. ttest CAR5, by(group) 

Two-sample t test with equal variances
-------------------------------------------------------------------------
> -----
   Group |     Obs        Mean    Std. Err.   Std. Dev.   [95% Conf. Inte
> rval]
---------+---------------------------------------------------------------
> -----
       A |      51    .1074361    .0234164    .1672262    .0604029    .15
> 44692
       B |      63    .0377181    .0155863    .1237126    .0065614    .06
> 88747
---------+---------------------------------------------------------------
> -----
combined |     114    .0689077    .0138866    .1482679    .0413959    .09
> 64195
---------+---------------------------------------------------------------
> -----
    diff |             .069718    .0272682                .0156895    .12
> 37465
-------------------------------------------------------------------------
> -----
    diff = mean(A) - mean(B)                                      t =   2
> .5568
Ho: diff = 0                                     degrees of freedom =    
>   112

    Ha: diff < 0                 Ha: diff != 0                 Ha: diff >
>  0
 Pr(T < t) = 0.9940         Pr(|T| > |t|) = 0.0119          Pr(T > t) = 0
> .0060

. 
. // GR 100% vs. GR 25-42%
. use "Cross04_MinGR_eq1.dta", clear 

. gen group = "A"

. append using "Cross04_US_MinGR_top5Xtile"

. replace group = "B" if group==""
(22 real changes made)

. ttest CAR5, by(group) 

Two-sample t test with equal variances
-------------------------------------------------------------------------
> -----
   Group |     Obs        Mean    Std. Err.   Std. Dev.   [95% Conf. Inte
> rval]
---------+---------------------------------------------------------------
> -----
       A |      51    .1074361    .0234164    .1672262    .0604029    .15
> 44692
       B |      22    .0156188    .0143163    .0671493   -.0141536    .04
> 53911
---------+---------------------------------------------------------------
> -----
combined |      73    .0797651    .0175697    .1501155    .0447406    .11
> 47896
---------+---------------------------------------------------------------
> -----
    diff |            .0918173    .0369874                .0180665    .16
> 55681
-------------------------------------------------------------------------
> -----
    diff = mean(A) - mean(B)                                      t =   2
> .4824
Ho: diff = 0                                     degrees of freedom =    
>    71

    Ha: diff < 0                 Ha: diff != 0                 Ha: diff >
>  0
 Pr(T < t) = 0.9923         Pr(|T| > |t|) = 0.0154          Pr(T > t) = 0
> .0077

. 
. // Baseline 97-100% GR 
. 
. use "List_US_MinGR_top8Xtile.dta", clear

. 
. eventstudy3 ISIN Date using Returns_US_MinGR_top8Xtile, returns(Return_
> Unadj) /// 
> car1LB(-20) car1UB(-16) ///
> car2LB(-15) car2UB(-11) ///
> car3LB(-10) car3UB(-6) ///
> car4LB(-5) car4UB(-1) ///
> car5LB(0) car5UB(5) ///
> car6LB(6) car6UB(10) ///
> evwlb(-20)  evwub(10) eswlb(-121) eswub(-21) ///
> mod(FM) ///
> logreturns ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> garch archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_CAR05_MinGR_top8Xtile)  ///
> crossfile(Cross_Car05_top8Xtile) ///
> carfile(Car_Diag_CAR05_MinGR_top8Xtile) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 63 events completed.
2 out of 63 events completed.
3 out of 63 events completed.
4 out of 63 events completed.
5 out of 63 events completed.
6 out of 63 events completed.
7 out of 63 events completed.
8 out of 63 events completed.
9 out of 63 events completed.
10 out of 63 events completed.
11 out of 63 events completed.
12 out of 63 events completed.
13 out of 63 events completed.
14 out of 63 events completed.
15 out of 63 events completed.
16 out of 63 events completed.
17 out of 63 events completed.
18 out of 63 events completed.
19 out of 63 events completed.
20 out of 63 events completed.
21 out of 63 events completed.
22 out of 63 events completed.
23 out of 63 events completed.
24 out of 63 events completed.
25 out of 63 events completed.
26 out of 63 events completed.
27 out of 63 events completed.
28 out of 63 events completed.
29 out of 63 events completed.
30 out of 63 events completed.
31 out of 63 events completed.
32 out of 63 events completed.
33 out of 63 events completed.
34 out of 63 events completed.
35 out of 63 events completed.
36 out of 63 events completed.
37 out of 63 events completed.
38 out of 63 events completed.
39 out of 63 events completed.
40 out of 63 events completed.
41 out of 63 events completed.
42 out of 63 events completed.
43 out of 63 events completed.
44 out of 63 events completed.
45 out of 63 events completed.
46 out of 63 events completed.
47 out of 63 events completed.
48 out of 63 events completed.
49 out of 63 events completed.
50 out of 63 events completed.
51 out of 63 events completed.
52 out of 63 events completed.
53 out of 63 events completed.
54 out of 63 events completed.
55 out of 63 events completed.
56 out of 63 events completed.
57 out of 63 events completed.
58 out of 63 events completed.
59 out of 63 events completed.
60 out of 63 events completed.
61 out of 63 events completed.
62 out of 63 events completed.
63 out of 63 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded

Warning: Some CAR window definitions (options carXLB and carXUB) have bee
> n changed because they were outside the event window.

Number of events in the event file: 63
-- thereof: Number of events for which security identifiers and event dat
> es are available: 63
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 63
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 63

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        63     .008873                                            
>                                                    
    -19        63    .0000798                                            
>                                                    
    -18        63   -.0235109      ***   ***      ***         ***       *
> **       **        **       **       ***      ***  
    -17        63    -.005471                                            
>                                                    
    -16        63    .0024118                       *                    
>                                        *           
    -15        63   -.0004288                                            
>                                                    
    -14        63    .0034991                                            
>                                       **           
    -13        63   -.0015094                                            
>                                                    
    -12        63   -.0063132                                            
>                                                    
    -11        63    .0035549                                            
> **                                     *        *  
    -10        63    .0066933                       *                    
> **                                                 
     -9        63    .0168797       **     *       **                    
> **                                    **      ***  
     -8        63    .0046158                                            
>                                                    
     -7        63    .0045394                                            
>                                                 *  
     -6        63   -.0079443                       *                    
> **                                             **  
     -5        63      .00137                                            
>                                                    
     -4        63    .0013938                                            
>                                                    
     -3        63     .015141        *     *       **                    
>  *                                    **       **  
     -2        63     .000316                                            
>                                                    
     -1        63    .0467067      ***   ***       **                    
>                                                    
      0        63    .0131482        *             **                    
> **                                    **      ***  
      1        63    .0106156                       *                    
>  *                                                 
      2        63    .0270705      ***   ***      ***         ***       *
> **      ***       ***      ***       ***      ***  
      3        63    .0148925        *     *       **                    
>  *                                    **       **  
      4        63    .0172998       **     *      ***         ***       *
> **       **        **       **        **      ***  
      5        63    .0060397                                            
>                                                    
      6        63   -.0156303       **     *                             
>                                               ***  
      7        63   -.0079434                                            
>                                       **           
      8        63     -.00098                                            
>                                                    
      9        63    .0028723                       *                    
> **                                                 
     10        63    -.004582                                            
>                                                    

            t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ  
>  Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   W
> ilcox  
    [-20;-16]        63   -.0176174                                      
>                                                                        
>        
    [-15;-11]        63   -.0011974                                      
>                                                                        
>        
     [-10;-6]        63    .0247839        *            ***          **  
>       **                                                 *       **    
>    **  
      [-5;-1]        63    .0649274      ***   ***       **              
>                                                                        
>    **  
        [0;5]        63    .0890663      ***   ***      ***         ***  
>      ***      ***             ***            ***       ***      ***    
>   ***  
       [6;10]        63   -.0262635        *                             
>                                                                        
>    **  
     [-20;10]        63    .1336993      ***   ***      ***         ***  
>       **                       **              *       ***       **    
>   ***  
     [-20;10]        63    .1336993      ***   ***      ***         ***  
>       **                       **              *       ***       **    
>   ***  
     [-20;10]        63    .1336993      ***   ***      ***         ***  
>       **                       **              *       ***       **    
>   ***  
     [-20;10]        63    .1336993      ***   ***      ***         ***  
>       **                       **              *       ***       **    
>   ***  
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  aarfile
Cumulative average abnormal returns:  Car_Diag_CAR05_MinGR_top8Xtile
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  Cross_Car05_to
> p8Xtile
Diagnostic of events that are excluded:  Diag_CAR05_MinGR_top8Xtile
Logfile:  Diag_CAR05_MinGR_top8Xtile

. 
. 
. // GR 97-100% vs. GR>0
. use "Cross_Car05_top8Xtile.dta", clear

. gen group = "A"

. append using "Cross04_EV2_US_MinGR_yes0913"

. replace group = "B" if group==""
(249 real changes made)

. ttest CAR5, by(group) 

Two-sample t test with equal variances
-------------------------------------------------------------------------
> -----
   Group |     Obs        Mean    Std. Err.   Std. Dev.   [95% Conf. Inte
> rval]
---------+---------------------------------------------------------------
> -----
       A |      63    .0890663    .0195021    .1547932    .0500822    .12
> 80505
       B |     249    .0277297     .007318    .1154768    .0133163    .04
> 21432
---------+---------------------------------------------------------------
> -----
combined |     312     .040115    .0071653    .1265647    .0260164    .05
> 42136
---------+---------------------------------------------------------------
> -----
    diff |            .0613366    .0175353                .0268333    .09
> 58399
-------------------------------------------------------------------------
> -----
    diff = mean(A) - mean(B)                                      t =   3
> .4979
Ho: diff = 0                                     degrees of freedom =    
>   310

    Ha: diff < 0                 Ha: diff != 0                 Ha: diff >
>  0
 Pr(T < t) = 0.9997         Pr(|T| > |t|) = 0.0005          Pr(T > t) = 0
> .0003

. 
. // GR 97-100% vs. GR 25-96%
. use "Cross_Car05_top8Xtile.dta", clear

. gen group = "A"

. append using "Cross04_US_MinGR_top57Xtile"
(note: variable _BETA was byte, now float to accommodate using data's
       values)

. replace group = "B" if group==""
(63 real changes made)

. ttest CAR5, by(group) 

Two-sample t test with equal variances
-------------------------------------------------------------------------
> -----
   Group |     Obs        Mean    Std. Err.   Std. Dev.   [95% Conf. Inte
> rval]
---------+---------------------------------------------------------------
> -----
       A |      63    .0890663    .0195021    .1547932    .0500822    .12
> 80505
       B |      63    .0377181    .0155863    .1237126    .0065614    .06
> 88747
---------+---------------------------------------------------------------
> -----
combined |     126    .0633922    .0126429    .1419163    .0383703    .08
> 84141
---------+---------------------------------------------------------------
> -----
    diff |            .0513482    .0249653                .0019349    .10
> 07616
-------------------------------------------------------------------------
> -----
    diff = mean(A) - mean(B)                                      t =   2
> .0568
Ho: diff = 0                                     degrees of freedom =    
>   124

    Ha: diff < 0                 Ha: diff != 0                 Ha: diff >
>  0
 Pr(T < t) = 0.9791         Pr(|T| > |t|) = 0.0418          Pr(T > t) = 0
> .0209

. 
. // GR 97-100% vs. GR 25-42%
. use "Cross_Car05_top8Xtile.dta", clear

. gen group = "A"

. append using "Cross04_US_MinGR_top5Xtile"
(note: variable _BETA was byte, now float to accommodate using data's
       values)

. replace group = "B" if group==""
(22 real changes made)

. ttest CAR5, by(group) 

Two-sample t test with equal variances
-------------------------------------------------------------------------
> -----
   Group |     Obs        Mean    Std. Err.   Std. Dev.   [95% Conf. Inte
> rval]
---------+---------------------------------------------------------------
> -----
       A |      63    .0890663    .0195021    .1547932    .0500822    .12
> 80505
       B |      22    .0156188    .0143163    .0671493   -.0141536    .04
> 53911
---------+---------------------------------------------------------------
> -----
combined |      85    .0700564    .0152855    .1409251    .0396595    .10
> 04532
---------+---------------------------------------------------------------
> -----
    diff |            .0734476    .0341707                .0054834    .14
> 14117
-------------------------------------------------------------------------
> -----
    diff = mean(A) - mean(B)                                      t =   2
> .1494
Ho: diff = 0                                     degrees of freedom =    
>    83

    Ha: diff < 0                 Ha: diff != 0                 Ha: diff >
>  0
 Pr(T < t) = 0.9827         Pr(|T| > |t|) = 0.0345          Pr(T > t) = 0
> .0173

.  
. /*=====================================================================
> ===========*/
. /* Figure D1. Event path for green firms with 5-7th decile of GR 25-96%
>  (N = 63)  */ 
. /*=====================================================================
> ===========*/
. 
. use "List_US_MinGR_top57Xtile.dta", clear

. 
. eventstudy3 ISIN Date using Returns_US_MinGR_top57Xtile, returns(Return
> _Unadj) /// 
> mod(FM) /// Fama French model 
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) /// factors
> riskfreerate(RFNum) /// risk free 
> evwlb(-20) /// event window lower bound
> evwub(10) /// event window upper bound 
> eswlb(-121) /// estimation window lower bound 
> eswub(-21) /// estimation window upper bound 
> logreturns /// log returns
> car1LB(-12) car1UB(-10) /// CAR window 1 bounds
> car2LB(-13) car2UB(-11) /// CAR window 2 bounds
> car3LB(-14) car3UB(-12) /// CAR window 3 bounds
> car4LB(-15) car4UB(-13) /// CAR window 4 bounds
> car5LB(-16) car5UB(-14) /// CAR window 5 bounds
> car6LB(-17) car6UB(-15) /// CAR window 6 bounds
> car7LB(-18) car7UB(-16) /// CAR window 7 bounds
> car8LB(-19) car8UB(-17) /// CAR window 8 bounds
> car9LB(-20) car9UB(-18) /// CAR window 9 bounds
> garch archoption(1) garchoption(1) /// ARCH option GARCH option
> diagnosticsfile(Diag_Pre_MinGR_top57Xtile) /// output diagnostic 
> carfile(Car_Diag_Pre_MinGR_top57Xtile) /// output cumulative average ab
> normal return file
> aarfile(AAR) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 63 events completed.
2 out of 63 events completed.
3 out of 63 events completed.
4 out of 63 events completed.
5 out of 63 events completed.
6 out of 63 events completed.
7 out of 63 events completed.
8 out of 63 events completed.
9 out of 63 events completed.
10 out of 63 events completed.
11 out of 63 events completed.
12 out of 63 events completed.
13 out of 63 events completed.
14 out of 63 events completed.
15 out of 63 events completed.
16 out of 63 events completed.
17 out of 63 events completed.
18 out of 63 events completed.
19 out of 63 events completed.
20 out of 63 events completed.
21 out of 63 events completed.
22 out of 63 events completed.
23 out of 63 events completed.
24 out of 63 events completed.
25 out of 63 events completed.
26 out of 63 events completed.
27 out of 63 events completed.
28 out of 63 events completed.
29 out of 63 events completed.
30 out of 63 events completed.
31 out of 63 events completed.
32 out of 63 events completed.
33 out of 63 events completed.
34 out of 63 events completed.
35 out of 63 events completed.
36 out of 63 events completed.
37 out of 63 events completed.
38 out of 63 events completed.
39 out of 63 events completed.
40 out of 63 events completed.
41 out of 63 events completed.
42 out of 63 events completed.
43 out of 63 events completed.
44 out of 63 events completed.
45 out of 63 events completed.
46 out of 63 events completed.
47 out of 63 events completed.
48 out of 63 events completed.
49 out of 63 events completed.
50 out of 63 events completed.
51 out of 63 events completed.
52 out of 63 events completed.
53 out of 63 events completed.
54 out of 63 events completed.
55 out of 63 events completed.
56 out of 63 events completed.
57 out of 63 events completed.
58 out of 63 events completed.
59 out of 63 events completed.
60 out of 63 events completed.
61 out of 63 events completed.
62 out of 63 events completed.
63 out of 63 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded

Warning: Some CAR window definitions (options carXLB and carXUB) have bee
> n changed because they were outside the event window.

Number of events in the event file: 63
-- thereof: Number of events for which security identifiers and event dat
> es are available: 63
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 63
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 63

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        63    .0012821                                            
>                                       **        *  
    -19        63   -.0021278                                            
>                                                    
    -18        63   -.0134603      ***   ***      ***          **       *
> **       **         *        *                 **  
    -17        63   -.0004743                                            
>                                                    
    -16        63    .0019422                                            
>  *                                     *           
    -15        63   -.0054101                                            
>                                                    
    -14        63   -.0071428                      **                   *
> **       **        **       **       ***      ***  
    -13        63    .0027607                                            
>                                                    
    -12        63   -.0082829        *     *        *                    
>  *                                                 
    -11        63    .0023237                                            
>                                                    
    -10        63    .0062439                                            
> **                                                 
     -9        63    .0054573                                            
>                                                    
     -8        63   -.0006337                                            
>                                                    
     -7        63    .0094403       **     *                             
>                                       **       **  
     -6        63   -.0038007                                            
>                                                    
     -5        63   -.0023594                                            
>                                                    
     -4        63   -.0126121      ***    **                             
>                                                 *  
     -3        63    .0121194      ***    **       **           *       *
> **       **                  *        **      ***  
     -2        63     .000899                                            
>                                                    
     -1        63    .0045011                                            
>                                                    
      0        63   -.0074782        *                                   
>                                                    
      1        63    .0002019                                            
>                                                    
      2        63    .0126762      ***    **      ***         ***       *
> **       **        **        *         *       **  
      3        63    .0125374      ***    **      ***          **        
> **        *        **                ***      ***  
      4        63    .0117276       **    **      ***          **       *
> **       **                          ***      ***  
      5        63    .0074956        *             **                    
>                                        *        *  
      6        63   -.0126487      ***    **        *                    
>                                                    
      7        63    .0088313        *     *       **                    
> **                                             **  
      8        63   -.0003657                                            
>                                                    
      9        63    .0066444                       *                    
>  *                                     *           
     10        63   -.0064511                                            
>  *                           *         *       **  

            t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ  
>  Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   W
> ilcox  
    [-12;-10]        63    .0002847                                      
>                                                                        
>        
    [-13;-11]        63   -.0031985                                      
>                                                                        
>        
    [-14;-12]        63    -.012665        *            ***          **  
>      ***      ***               *             **       ***      ***    
>   ***  
    [-15;-13]        63   -.0097922                     ***          **  
>      ***       **               *             **       ***      ***    
>   ***  
    [-16;-14]        63   -.0106107                                      
>                                                                        
>    **  
    [-17;-15]        63   -.0039422                                      
>                                                                        
>        
    [-18;-16]        63   -.0119923        *             **           *  
>        *                                                               
>        
    [-19;-17]        63   -.0160624       **     *       **              
>       **                                                          *    
>        
    [-20;-18]        63    -.014306       **                             
>                                                                        
>        
     [-20;10]        63    .0238365                                      
>                                                         **             
>    **  
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  AAR
Cumulative average abnormal returns:  Car_Diag_Pre_MinGR_top57Xtile
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Pre_MinGR_top57Xtile
Logfile:  Diag_Pre_MinGR_top57Xtile

. 
. use "List_US_MinGR_top57Xtile.dta", clear

. 
. eventstudy3 ISIN Date using Returns_US_MinGR_top57Xtile, returns(Return
> _Unadj) /// 
> mod(FM) ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> evwlb(-20) evwub(10) ///
> eswlb(-121) eswub(-21) ///
> logreturns ///
> car1LB(-2) car1UB(0) ///
> car2LB(-3) car2UB(-1) ///
> car3LB(-4) car3UB(-2) ///
> car4LB(-5) car4UB(-3) ///
> car5LB(-6) car5UB(-4) ///
> car6LB(-7) car6UB(-5) ///
> car7LB(-8) car7UB(-6) ///
> car8LB(-9) car8UB(-7) ///
> car9LB(-10) car9UB(-8) ///
> car10LB(-11) car10UB(-9) ///
> garch archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_Neg_MinGR_top57Xtile) ///
> carfile(Car_Diag_Neg_MinGR_top57Xtile) ///
> aarfile(AAR_neg) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 63 events completed.
2 out of 63 events completed.
3 out of 63 events completed.
4 out of 63 events completed.
5 out of 63 events completed.
6 out of 63 events completed.
7 out of 63 events completed.
8 out of 63 events completed.
9 out of 63 events completed.
10 out of 63 events completed.
11 out of 63 events completed.
12 out of 63 events completed.
13 out of 63 events completed.
14 out of 63 events completed.
15 out of 63 events completed.
16 out of 63 events completed.
17 out of 63 events completed.
18 out of 63 events completed.
19 out of 63 events completed.
20 out of 63 events completed.
21 out of 63 events completed.
22 out of 63 events completed.
23 out of 63 events completed.
24 out of 63 events completed.
25 out of 63 events completed.
26 out of 63 events completed.
27 out of 63 events completed.
28 out of 63 events completed.
29 out of 63 events completed.
30 out of 63 events completed.
31 out of 63 events completed.
32 out of 63 events completed.
33 out of 63 events completed.
34 out of 63 events completed.
35 out of 63 events completed.
36 out of 63 events completed.
37 out of 63 events completed.
38 out of 63 events completed.
39 out of 63 events completed.
40 out of 63 events completed.
41 out of 63 events completed.
42 out of 63 events completed.
43 out of 63 events completed.
44 out of 63 events completed.
45 out of 63 events completed.
46 out of 63 events completed.
47 out of 63 events completed.
48 out of 63 events completed.
49 out of 63 events completed.
50 out of 63 events completed.
51 out of 63 events completed.
52 out of 63 events completed.
53 out of 63 events completed.
54 out of 63 events completed.
55 out of 63 events completed.
56 out of 63 events completed.
57 out of 63 events completed.
58 out of 63 events completed.
59 out of 63 events completed.
60 out of 63 events completed.
61 out of 63 events completed.
62 out of 63 events completed.
63 out of 63 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded


Number of events in the event file: 63
-- thereof: Number of events for which security identifiers and event dat
> es are available: 63
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 63
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 63

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        63    .0012821                                            
>                                       **        *  
    -19        63   -.0021278                                            
>                                                    
    -18        63   -.0134603      ***   ***      ***          **       *
> **       **         *        *                 **  
    -17        63   -.0004743                                            
>                                                    
    -16        63    .0019422                                            
>  *                                     *           
    -15        63   -.0054101                                            
>                                                    
    -14        63   -.0071428                      **                   *
> **       **        **       **       ***      ***  
    -13        63    .0027607                                            
>                                                    
    -12        63   -.0082829        *     *        *                    
>  *                                                 
    -11        63    .0023237                                            
>                                                    
    -10        63    .0062439                                            
> **                                                 
     -9        63    .0054573                                            
>                                                    
     -8        63   -.0006337                                            
>                                                    
     -7        63    .0094403       **     *                             
>                                       **       **  
     -6        63   -.0038007                                            
>                                                    
     -5        63   -.0023594                                            
>                                                    
     -4        63   -.0126121      ***    **                             
>                                                 *  
     -3        63    .0121194      ***    **       **           *       *
> **       **                  *        **      ***  
     -2        63     .000899                                            
>                                                    
     -1        63    .0045011                                            
>                                                    
      0        63   -.0074782        *                                   
>                                                    
      1        63    .0002019                                            
>                                                    
      2        63    .0126762      ***    **      ***         ***       *
> **       **        **        *         *       **  
      3        63    .0125374      ***    **      ***          **        
> **        *        **                ***      ***  
      4        63    .0117276       **    **      ***          **       *
> **       **                          ***      ***  
      5        63    .0074956        *             **                    
>                                        *        *  
      6        63   -.0126487      ***    **        *                    
>                                                    
      7        63    .0088313        *     *       **                    
> **                                             **  
      8        63   -.0003657                                            
>                                                    
      9        63    .0066444                       *                    
>  *                                     *           
     10        63   -.0064511                                            
>  *                           *         *       **  

           t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ   
> Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   Wi
> lcox  
      [-2;0]        63    -.002078                                       
>                                                                        
>       
     [-3;-1]        63    .0175195       **    **      ***          **   
>       *                                                                
>    *  
     [-4;-2]        63    .0004063                                       
>                                                                        
>       
     [-5;-3]        63   -.0028521                                       
>                                                                        
>       
     [-6;-4]        63   -.0187722      ***    **                        
>                                                                        
>       
     [-7;-5]        63    .0032802                                       
>                                                        **              
>       
     [-8;-6]        63    .0050059                                       
>                                                                  *     
>       
     [-9;-7]        63    .0142639       **                              
>                                                                        
>   **  
    [-10;-8]        63    .0110675                      **               
>      **                                                                
>       
    [-11;-9]        63    .0140249       **            ***           *   
>     ***       **                                                **     
>       
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  AAR_neg
Cumulative average abnormal returns:  Car_Diag_Neg_MinGR_top57Xtile
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Neg_MinGR_top57Xtile
Logfile:  Diag_Neg_MinGR_top57Xtile

. 
. 
. use "List_US_MinGR_top57Xtile.dta", clear

. 
. eventstudy3 ISIN Date using Returns_US_MinGR_top57Xtile, returns(Return
> _Unadj) /// 
> mod(FM) ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> evwlb(-20)  evwub(10) ///
> eswlb(-121) eswub(-21) ///
> logreturns ///
> car1LB(-1) car1UB(1) ///
> car2LB(0) car2UB(2) ///
> car3LB(1) car3UB(3) ///
> car4LB(2) car4UB(4) ///
> car5LB(3) car5UB(5) ///
> car6LB(4) car6UB(6) ///
> car7LB(5) car7UB(7) ///
> car8LB(6) car8UB(8) ///
> car9LB(7) car9UB(9) ///
> car10LB(8) car10UB(10) ///
> garch archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_Post_MinGR_top57Xtile) ///
> carfile(Car_Diag_Post_MinGR_top57Xtile) ///
> aarfile(AAR_post) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 63 events completed.
2 out of 63 events completed.
3 out of 63 events completed.
4 out of 63 events completed.
5 out of 63 events completed.
6 out of 63 events completed.
7 out of 63 events completed.
8 out of 63 events completed.
9 out of 63 events completed.
10 out of 63 events completed.
11 out of 63 events completed.
12 out of 63 events completed.
13 out of 63 events completed.
14 out of 63 events completed.
15 out of 63 events completed.
16 out of 63 events completed.
17 out of 63 events completed.
18 out of 63 events completed.
19 out of 63 events completed.
20 out of 63 events completed.
21 out of 63 events completed.
22 out of 63 events completed.
23 out of 63 events completed.
24 out of 63 events completed.
25 out of 63 events completed.
26 out of 63 events completed.
27 out of 63 events completed.
28 out of 63 events completed.
29 out of 63 events completed.
30 out of 63 events completed.
31 out of 63 events completed.
32 out of 63 events completed.
33 out of 63 events completed.
34 out of 63 events completed.
35 out of 63 events completed.
36 out of 63 events completed.
37 out of 63 events completed.
38 out of 63 events completed.
39 out of 63 events completed.
40 out of 63 events completed.
41 out of 63 events completed.
42 out of 63 events completed.
43 out of 63 events completed.
44 out of 63 events completed.
45 out of 63 events completed.
46 out of 63 events completed.
47 out of 63 events completed.
48 out of 63 events completed.
49 out of 63 events completed.
50 out of 63 events completed.
51 out of 63 events completed.
52 out of 63 events completed.
53 out of 63 events completed.
54 out of 63 events completed.
55 out of 63 events completed.
56 out of 63 events completed.
57 out of 63 events completed.
58 out of 63 events completed.
59 out of 63 events completed.
60 out of 63 events completed.
61 out of 63 events completed.
62 out of 63 events completed.
63 out of 63 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded


Number of events in the event file: 63
-- thereof: Number of events for which security identifiers and event dat
> es are available: 63
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 63
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 63

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        63    .0012821                                            
>                                       **        *  
    -19        63   -.0021278                                            
>                                                    
    -18        63   -.0134603      ***   ***      ***          **       *
> **       **         *        *                 **  
    -17        63   -.0004743                                            
>                                                    
    -16        63    .0019422                                            
>  *                                     *           
    -15        63   -.0054101                                            
>                                                    
    -14        63   -.0071428                      **                   *
> **       **        **       **       ***      ***  
    -13        63    .0027607                                            
>                                                    
    -12        63   -.0082829        *     *        *                    
>  *                                                 
    -11        63    .0023237                                            
>                                                    
    -10        63    .0062439                                            
> **                                                 
     -9        63    .0054573                                            
>                                                    
     -8        63   -.0006337                                            
>                                                    
     -7        63    .0094403       **     *                             
>                                       **       **  
     -6        63   -.0038007                                            
>                                                    
     -5        63   -.0023594                                            
>                                                    
     -4        63   -.0126121      ***    **                             
>                                                 *  
     -3        63    .0121194      ***    **       **           *       *
> **       **                  *        **      ***  
     -2        63     .000899                                            
>                                                    
     -1        63    .0045011                                            
>                                                    
      0        63   -.0074782        *                                   
>                                                    
      1        63    .0002019                                            
>                                                    
      2        63    .0126762      ***    **      ***         ***       *
> **       **        **        *         *       **  
      3        63    .0125374      ***    **      ***          **        
> **        *        **                ***      ***  
      4        63    .0117276       **    **      ***          **       *
> **       **                          ***      ***  
      5        63    .0074956        *             **                    
>                                        *        *  
      6        63   -.0126487      ***    **        *                    
>                                                    
      7        63    .0088313        *     *       **                    
> **                                             **  
      8        63   -.0003657                                            
>                                                    
      9        63    .0066444                       *                    
>  *                                     *           
     10        63   -.0064511                                            
>  *                           *         *       **  

         t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ   Bo
> ehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   Wilc
> ox  
    [-1;1]        63   -.0027752                                         
>                                                                        
>     
     [0;2]        63    .0053999                                         
>                                                                        
>     
     [1;3]        63    .0254155      ***   ***      ***         ***     
>    **                       **              *         *                
> **  
     [2;4]        63    .0369412      ***   ***      ***         ***     
>   ***      ***             ***            ***       ***      ***      *
> **  
     [3;5]        63    .0317606      ***   ***      ***         ***     
>   ***      ***             ***             **       ***      ***      *
> **  
     [4;6]        63    .0065745                     ***         ***     
>   ***        *                                                **       
>  *  
     [5;7]        63    .0036782                      **                 
>                                                       *        *       
>     
     [6;8]        63   -.0041831                                         
>                                                                        
>     
     [7;9]        63    .0151101       **     *      ***          **     
>   ***       **               *              *       ***      ***      *
> **  
    [8;10]        63   -.0001723                                         
>                                                                        
>     
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  AAR_post
Cumulative average abnormal returns:  Car_Diag_Post_MinGR_top57Xtile
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Post_MinGR_top57Xtile
Logfile:  Diag_Post_MinGR_top57Xtile

. 
. 
. use "Car_Diag_Pre_MinGR_top57Xtile.dta", clear

. 
. drop if _n==10
(1 observation deleted)

. 
. mmerge t using "Car_Diag_Neg_MinGR_top57Xtile", type(1:1) missing(nomat
> ch) 

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_Pre_MinGR_top57Xtile.dta
                 obs |      9
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_Neg_MinGR_top57Xtile.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_Pre_MinGR_top57Xtile.dta
                 obs |     19
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |      9  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. mmerge t using "Car_Diag_Post_MinGR_top57Xtile", type(1:1) missing(noma
> tch)

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_Pre_MinGR_top57Xtile.dta
                 obs |     19
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_Post_MinGR_top57Xtile.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_Pre_MinGR_top57Xtile.dta
                 obs |     29
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |     19  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. 
. gen tNum = ""
(29 missing values generated)

. replace tNum = usubstr(t, 1, ustrpos(t, ";") - 1)
variable tNum was str1 now str4
(29 real changes made)

. replace tNum = subinstr(tNum, "[", "",.) 
(29 real changes made)

. destring tNum, replace
tNum: all characters numeric; replaced as byte

. replace tNum = tNum+1
(29 real changes made)

. 
. order tNum, after(t)

. 
. gen CILB = CAARE - 1.96*(CAARE/NCAARECorrado_Cowan)

. gen CIUB = CAARE + 1.96*(CAARE/NCAARECorrado_Cowan)

. 
. sort tNum

. 
. twoway line CAARE tNum, lcolor(red) lwidth(medthick) ///
> yscale(range(-0.15(0.05)0.1)) ylabel(-0.15(0.05)0.1) ///
> xlabel(-20(2)10) ///
> graphregion(color(white)) ///
> xtitle("Trading day to/from Monday 14/12/2015") ytitle("CAAR (in %)") /
> //
> legend(off) ///
> xline(-10, lcolor(black)) xline(0, lcolor(black)) ///
> yline(0, lcolor(black)) ///
> text(0.08  -15 "Pre-negotiation") ///
> text(0.08 -6 "Negotiation") ///
> text(0.08 5 "Post-negotiation") ///
> || rcap CILB CIUB tNum, lcolor(blue)

. 
. graph export "${result}FigD1.pdf", replace
(file /Users/myramohnen/Dropbox/EventStudy_Paris/JAERE/ConditionalAccept/
> RESULTS/FigD1.pdf written in PDF format)

. 
. /*=====================================================================
> =========*/
. /* Figure D2. Trump event on baseline US */
. /*=====================================================================
> =========*/
. 
. use "List_2013USBaselineTop8XtileTrump", clear

. 
. eventstudy3 ISIN Date using Returns_2013USBaselineTop8XtileTrump, retur
> ns(Return_Unadj) /// 
> mod(FM) /// Fama French model 
> marketfile(Market_2013USBaselineTop8XtileTrump) mar(MktNum) idmarket(Ma
> rket_ID) /// 
> factor1(SMBNum) factor2(HMLNum) /// factors
> riskfreerate(RFNum) /// risk free 
> evwlb(-20) /// event window lower bound
> evwub(10) /// event window upper bound 
> eswlb(-121) /// estimation window lower bound 
> eswub(-21) /// estimation window upper bound 
> logreturns /// log returns
> car1LB(-12) car1UB(-10) /// CAR window 1 bounds
> car2LB(-13) car2UB(-11) /// CAR window 2 bounds
> car3LB(-14) car3UB(-12) /// CAR window 3 bounds
> car4LB(-15) car4UB(-13) /// CAR window 4 bounds
> car5LB(-16) car5UB(-14) /// CAR window 5 bounds
> car6LB(-17) car6UB(-15) /// CAR window 6 bounds
> car7LB(-18) car7UB(-16) /// CAR window 7 bounds
> car8LB(-19) car8UB(-17) /// CAR window 8 bounds
> car9LB(-20) car9UB(-18) /// CAR window 9 bounds
> archoption(1) garchoption(1) /// ARCH option GARCH option
> diagnosticsfile(Diag_Pre_MinGR_top8Xtile) /// output diagnostic 
> carfile(Car_Diag_Pre_MinGR_top8Xtile) /// output cumulative average abn
> ormal return file
> aarfile(AAR) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 121 events completed.
2 out of 121 events completed.
3 out of 121 events completed.
4 out of 121 events completed.
5 out of 121 events completed.
6 out of 121 events completed.
7 out of 121 events completed.
8 out of 121 events completed.
9 out of 121 events completed.
10 out of 121 events completed.
11 out of 121 events completed.
12 out of 121 events completed.
13 out of 121 events completed.
14 out of 121 events completed.
15 out of 121 events completed.
16 out of 121 events completed.
17 out of 121 events completed.
18 out of 121 events completed.
19 out of 121 events completed.
20 out of 121 events completed.
21 out of 121 events completed.
22 out of 121 events completed.
23 out of 121 events completed.
24 out of 121 events completed.
25 out of 121 events completed.
26 out of 121 events completed.
27 out of 121 events completed.
28 out of 121 events completed.
29 out of 121 events completed.
30 out of 121 events completed.
31 out of 121 events completed.
32 out of 121 events completed.
33 out of 121 events completed.
34 out of 121 events completed.
35 out of 121 events completed.
36 out of 121 events completed.
37 out of 121 events completed.
38 out of 121 events completed.
39 out of 121 events completed.
40 out of 121 events completed.
41 out of 121 events completed.
42 out of 121 events completed.
43 out of 121 events completed.
44 out of 121 events completed.
45 out of 121 events completed.
46 out of 121 events completed.
47 out of 121 events completed.
48 out of 121 events completed.
49 out of 121 events completed.
50 out of 121 events completed.
51 out of 121 events completed.
52 out of 121 events completed.
53 out of 121 events completed.
54 out of 121 events completed.
55 out of 121 events completed.
56 out of 121 events completed.
57 out of 121 events completed.
58 out of 121 events completed.
59 out of 121 events completed.
60 out of 121 events completed.
61 out of 121 events completed.
62 out of 121 events completed.
63 out of 121 events completed.
64 out of 121 events completed.
65 out of 121 events completed.
66 out of 121 events completed.
67 out of 121 events completed.
68 out of 121 events completed.
69 out of 121 events completed.
70 out of 121 events completed.
71 out of 121 events completed.
72 out of 121 events completed.
73 out of 121 events completed.
74 out of 121 events completed.
75 out of 121 events completed.
76 out of 121 events completed.
77 out of 121 events completed.
78 out of 121 events completed.
79 out of 121 events completed.
80 out of 121 events completed.
81 out of 121 events completed.
82 out of 121 events completed.
83 out of 121 events completed.
84 out of 121 events completed.
85 out of 121 events completed.
86 out of 121 events completed.
87 out of 121 events completed.
88 out of 121 events completed.
89 out of 121 events completed.
90 out of 121 events completed.
91 out of 121 events completed.
92 out of 121 events completed.
93 out of 121 events completed.
94 out of 121 events completed.
95 out of 121 events completed.
96 out of 121 events completed.
97 out of 121 events completed.
98 out of 121 events completed.
99 out of 121 events completed.
100 out of 121 events completed.
101 out of 121 events completed.
102 out of 121 events completed.
103 out of 121 events completed.
104 out of 121 events completed.
105 out of 121 events completed.
106 out of 121 events completed.
107 out of 121 events completed.
108 out of 121 events completed.
109 out of 121 events completed.
110 out of 121 events completed.
111 out of 121 events completed.
112 out of 121 events completed.
113 out of 121 events completed.
114 out of 121 events completed.
115 out of 121 events completed.
116 out of 121 events completed.
117 out of 121 events completed.
118 out of 121 events completed.
119 out of 121 events completed.
120 out of 121 events completed.
121 out of 121 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded

Warning: Some CAR window definitions (options carXLB and carXUB) have bee
> n changed because they were outside the event window.

Number of events in the event file: 128
-- thereof: Number of events for which security identifiers and event dat
> es are available: 128
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 128
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 121

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 6
Number of events with insufficient market index/factor return data: 5

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 4
Number of events with insufficient market/index factor return data: 4
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 5


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20       116    .0036154                                            
>                                      ***           
    -19       118   -.0065784                                            
>                                                    
    -18       117   -.0037784                                            
>                                                    
    -17       117   -.0054868                                            
>                                       **           
    -16       117    .0104252        *            ***                   *
> **                                    **           
    -15       119    .0011452                                            
>  *                                   ***           
    -14       119    .0065931                      **                    
> **                                    **           
    -13       117    -.003451                                            
>                                                 *  
    -12       117     .009685        *                                   
>                                                    
    -11       117   -.0073762                                            
>                                                 *  
    -10       117   -.0066642                     ***                    
>  *                                                 
     -9       116   -.0010726                                            
>                                       **           
     -8       116    .0194389      ***     *      ***                    
>  *                                   ***      ***  
     -7       116     -.00551                                            
>                                       **           
     -6       116   -.0262245      ***    **       **                    
> **                  *        *       ***      ***  
     -5       116    -.005373                     ***           *       *
> **                                             **  
     -4       116    .0106379        *             **                    
> **                                   ***      ***  
     -3       118   -.0227545      ***    **      ***         ***       *
> **        *                                   ***  
     -2       117   -.0138661       **            ***                    
> **                                   ***      ***  
     -1       117   -.0063446                     ***           *        
> **                                     *       **  
      0       117    -.001625                     ***           *       *
> **                  *                 **        *  
      1       117   -.0401257      ***   ***      ***         ***       *
> **      ***       ***       **       ***      ***  
      2       119   -.0014615                                            
>                                                    
      3       116   -.0205619      ***     *       **                    
>                                       **      ***  
      4       116   -.0164346       **                                   
>                                                **  
      5       116    .0030903                                            
>                                                    
      6       118    .0051692                                            
>                                      ***      ***  
      7       118   -.0243145      ***    **      ***          **       *
> **                                            ***  
      8       118    .0024722                     ***           *       *
> **                  *       **       ***      ***  
      9       116   -.0082903                                            
>                                                **  
     10       116   -.0023842                                            
>                                                    

            t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ  
>  Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   W
> ilcox  
    [-12;-10]       119   -.0042486                                      
>                                                                        
>        
    [-13;-11]       117   -.0011423                                      
>                                                                        
>        
    [-14;-12]       117    .0127854                     ***              
>        *                                                               
>        
    [-15;-13]       119    .0031042                      **              
>       **                                                               
>        
    [-16;-14]       117    .0166144        *            ***         ***  
>      ***        *               *             **        **             
>    **  
    [-17;-15]       117    .0045762                     ***              
>       **                                       *       ***       **    
>     *  
    [-18;-16]       121    -.000575                       *              
>        *                                               ***             
>        
    [-19;-17]       116   -.0160326        *                             
>                                                        ***        *    
>        
    [-20;-18]       116   -.0070522                       *              
>                                                        ***        *    
>        
     [-20;10]       116   -.1577977      ***    **                       
>                                                         **             
>   ***  
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  AAR
Cumulative average abnormal returns:  Car_Diag_Pre_MinGR_top8Xtile
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Pre_MinGR_top8Xtile
Logfile:  Diag_Pre_MinGR_top8Xtile

. 
. use "List_2013USBaselineTop8XtileTrump", clear

. 
. eventstudy3 ISIN Date using Returns_2013USBaselineTop8XtileTrump, retur
> ns(Return_Unadj) /// 
> mod(FM) ///
> marketfile(Market_2013USBaselineTop8XtileTrump) mar(MktNum) idmarket(Ma
> rket_ID) /// 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> evwlb(-20) evwub(10) ///
> eswlb(-121) eswub(-21) ///
> logreturns ///
> car1LB(-2) car1UB(0) ///
> car2LB(-3) car2UB(-1) ///
> car3LB(-4) car3UB(-2) ///
> car4LB(-5) car4UB(-3) ///
> car5LB(-6) car5UB(-4) ///
> car6LB(-7) car6UB(-5) ///
> car7LB(-8) car7UB(-6) ///
> car8LB(-9) car8UB(-7) ///
> car9LB(-10) car9UB(-8) ///
> car10LB(-11) car10UB(-9) ///
> archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_Neg_MinGR_top8Xtile) ///
> carfile(Car_Diag_Neg_MinGR_top8Xtile) ///
> aarfile(AAR_neg) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 121 events completed.
2 out of 121 events completed.
3 out of 121 events completed.
4 out of 121 events completed.
5 out of 121 events completed.
6 out of 121 events completed.
7 out of 121 events completed.
8 out of 121 events completed.
9 out of 121 events completed.
10 out of 121 events completed.
11 out of 121 events completed.
12 out of 121 events completed.
13 out of 121 events completed.
14 out of 121 events completed.
15 out of 121 events completed.
16 out of 121 events completed.
17 out of 121 events completed.
18 out of 121 events completed.
19 out of 121 events completed.
20 out of 121 events completed.
21 out of 121 events completed.
22 out of 121 events completed.
23 out of 121 events completed.
24 out of 121 events completed.
25 out of 121 events completed.
26 out of 121 events completed.
27 out of 121 events completed.
28 out of 121 events completed.
29 out of 121 events completed.
30 out of 121 events completed.
31 out of 121 events completed.
32 out of 121 events completed.
33 out of 121 events completed.
34 out of 121 events completed.
35 out of 121 events completed.
36 out of 121 events completed.
37 out of 121 events completed.
38 out of 121 events completed.
39 out of 121 events completed.
40 out of 121 events completed.
41 out of 121 events completed.
42 out of 121 events completed.
43 out of 121 events completed.
44 out of 121 events completed.
45 out of 121 events completed.
46 out of 121 events completed.
47 out of 121 events completed.
48 out of 121 events completed.
49 out of 121 events completed.
50 out of 121 events completed.
51 out of 121 events completed.
52 out of 121 events completed.
53 out of 121 events completed.
54 out of 121 events completed.
55 out of 121 events completed.
56 out of 121 events completed.
57 out of 121 events completed.
58 out of 121 events completed.
59 out of 121 events completed.
60 out of 121 events completed.
61 out of 121 events completed.
62 out of 121 events completed.
63 out of 121 events completed.
64 out of 121 events completed.
65 out of 121 events completed.
66 out of 121 events completed.
67 out of 121 events completed.
68 out of 121 events completed.
69 out of 121 events completed.
70 out of 121 events completed.
71 out of 121 events completed.
72 out of 121 events completed.
73 out of 121 events completed.
74 out of 121 events completed.
75 out of 121 events completed.
76 out of 121 events completed.
77 out of 121 events completed.
78 out of 121 events completed.
79 out of 121 events completed.
80 out of 121 events completed.
81 out of 121 events completed.
82 out of 121 events completed.
83 out of 121 events completed.
84 out of 121 events completed.
85 out of 121 events completed.
86 out of 121 events completed.
87 out of 121 events completed.
88 out of 121 events completed.
89 out of 121 events completed.
90 out of 121 events completed.
91 out of 121 events completed.
92 out of 121 events completed.
93 out of 121 events completed.
94 out of 121 events completed.
95 out of 121 events completed.
96 out of 121 events completed.
97 out of 121 events completed.
98 out of 121 events completed.
99 out of 121 events completed.
100 out of 121 events completed.
101 out of 121 events completed.
102 out of 121 events completed.
103 out of 121 events completed.
104 out of 121 events completed.
105 out of 121 events completed.
106 out of 121 events completed.
107 out of 121 events completed.
108 out of 121 events completed.
109 out of 121 events completed.
110 out of 121 events completed.
111 out of 121 events completed.
112 out of 121 events completed.
113 out of 121 events completed.
114 out of 121 events completed.
115 out of 121 events completed.
116 out of 121 events completed.
117 out of 121 events completed.
118 out of 121 events completed.
119 out of 121 events completed.
120 out of 121 events completed.
121 out of 121 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded


Number of events in the event file: 128
-- thereof: Number of events for which security identifiers and event dat
> es are available: 128
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 128
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 121

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 6
Number of events with insufficient market index/factor return data: 5

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 4
Number of events with insufficient market/index factor return data: 4
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 5


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20       116    .0036154                                            
>                                      ***           
    -19       118   -.0065784                                            
>                                                    
    -18       117   -.0037784                                            
>                                                    
    -17       117   -.0054868                                            
>                                       **           
    -16       117    .0104252        *            ***                   *
> **                                    **           
    -15       119    .0011452                                            
>  *                                   ***           
    -14       119    .0065931                      **                    
> **                                    **           
    -13       117    -.003451                                            
>                                                 *  
    -12       117     .009685        *                                   
>                                                    
    -11       117   -.0073762                                            
>                                                 *  
    -10       117   -.0066642                     ***                    
>  *                                                 
     -9       116   -.0010726                                            
>                                       **           
     -8       116    .0194389      ***     *      ***                    
>  *                                   ***      ***  
     -7       116     -.00551                                            
>                                       **           
     -6       116   -.0262245      ***    **       **                    
> **                  *        *       ***      ***  
     -5       116    -.005373                     ***           *       *
> **                                             **  
     -4       116    .0106379        *             **                    
> **                                   ***      ***  
     -3       118   -.0227545      ***    **      ***         ***       *
> **        *                                   ***  
     -2       117   -.0138661       **            ***                    
> **                                   ***      ***  
     -1       117   -.0063446                     ***           *        
> **                                     *       **  
      0       117    -.001625                     ***           *       *
> **                  *                 **        *  
      1       117   -.0401257      ***   ***      ***         ***       *
> **      ***       ***       **       ***      ***  
      2       119   -.0014615                                            
>                                                    
      3       116   -.0205619      ***     *       **                    
>                                       **      ***  
      4       116   -.0164346       **                                   
>                                                **  
      5       116    .0030903                                            
>                                                    
      6       118    .0051692                                            
>                                      ***      ***  
      7       118   -.0243145      ***    **      ***          **       *
> **                                            ***  
      8       118    .0024722                     ***           *       *
> **                  *       **       ***      ***  
      9       116   -.0082903                                            
>                                                **  
     10       116   -.0023842                                            
>                                                    

           t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ   
> Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   Wi
> lcox  
      [-2;0]       117   -.0182558       **            ***           *   
>      **                                                                
>    *  
     [-3;-1]       120   -.0378751      ***     *      ***         ***   
>     ***       **              **                      ***      ***     
>  ***  
     [-4;-2]       116   -.0289141      ***            ***          **   
>     ***                                               ***       **     
>  ***  
     [-5;-3]       116   -.0202271       **            ***         ***   
>     ***        *                                                       
>   **  
     [-6;-4]       118   -.0203439       **            ***           *   
>      **                                                                
>  ***  
     [-7;-5]       116   -.0371076      ***     *      ***           *   
>     ***                        *                       **        *     
>  ***  
     [-8;-6]       114   -.0173954        *                              
>                                                         *              
>   **  
     [-9;-7]       118    .0049679                     ***               
>       *                                                **        *     
>    *  
    [-10;-8]       116     .003625                                       
>                                                       ***        *     
>       
    [-11;-9]       114   -.0153464        *                              
>                                                                        
>       
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  AAR_neg
Cumulative average abnormal returns:  Car_Diag_Neg_MinGR_top8Xtile
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Neg_MinGR_top8Xtile
Logfile:  Diag_Neg_MinGR_top8Xtile

. 
. use "List_2013USBaselineTop8XtileTrump", clear

. 
. eventstudy3 ISIN Date using Returns_2013USBaselineTop8XtileTrump, retur
> ns(Return_Unadj) /// 
> mod(FM) ///
> marketfile(Market_2013USBaselineTop8XtileTrump) mar(MktNum) idmarket(Ma
> rket_ID) /// 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> evwlb(-20)  evwub(10) ///
> eswlb(-121) eswub(-21) ///
> logreturns ///
> car1LB(-1) car1UB(1) ///
> car2LB(0) car2UB(2) ///
> car3LB(1) car3UB(3) ///
> car4LB(2) car4UB(4) ///
> car5LB(3) car5UB(5) ///
> car6LB(4) car6UB(6) ///
> car7LB(5) car7UB(7) ///
> car8LB(6) car8UB(8) ///
> car9LB(7) car9UB(9) ///
> car10LB(8) car10UB(10) ///
> archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_Post_MinGR_top8Xtile) ///
> carfile(Car_Diag_Post_MinGR_top8Xtile) ///
> aarfile(AAR_post) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 121 events completed.
2 out of 121 events completed.
3 out of 121 events completed.
4 out of 121 events completed.
5 out of 121 events completed.
6 out of 121 events completed.
7 out of 121 events completed.
8 out of 121 events completed.
9 out of 121 events completed.
10 out of 121 events completed.
11 out of 121 events completed.
12 out of 121 events completed.
13 out of 121 events completed.
14 out of 121 events completed.
15 out of 121 events completed.
16 out of 121 events completed.
17 out of 121 events completed.
18 out of 121 events completed.
19 out of 121 events completed.
20 out of 121 events completed.
21 out of 121 events completed.
22 out of 121 events completed.
23 out of 121 events completed.
24 out of 121 events completed.
25 out of 121 events completed.
26 out of 121 events completed.
27 out of 121 events completed.
28 out of 121 events completed.
29 out of 121 events completed.
30 out of 121 events completed.
31 out of 121 events completed.
32 out of 121 events completed.
33 out of 121 events completed.
34 out of 121 events completed.
35 out of 121 events completed.
36 out of 121 events completed.
37 out of 121 events completed.
38 out of 121 events completed.
39 out of 121 events completed.
40 out of 121 events completed.
41 out of 121 events completed.
42 out of 121 events completed.
43 out of 121 events completed.
44 out of 121 events completed.
45 out of 121 events completed.
46 out of 121 events completed.
47 out of 121 events completed.
48 out of 121 events completed.
49 out of 121 events completed.
50 out of 121 events completed.
51 out of 121 events completed.
52 out of 121 events completed.
53 out of 121 events completed.
54 out of 121 events completed.
55 out of 121 events completed.
56 out of 121 events completed.
57 out of 121 events completed.
58 out of 121 events completed.
59 out of 121 events completed.
60 out of 121 events completed.
61 out of 121 events completed.
62 out of 121 events completed.
63 out of 121 events completed.
64 out of 121 events completed.
65 out of 121 events completed.
66 out of 121 events completed.
67 out of 121 events completed.
68 out of 121 events completed.
69 out of 121 events completed.
70 out of 121 events completed.
71 out of 121 events completed.
72 out of 121 events completed.
73 out of 121 events completed.
74 out of 121 events completed.
75 out of 121 events completed.
76 out of 121 events completed.
77 out of 121 events completed.
78 out of 121 events completed.
79 out of 121 events completed.
80 out of 121 events completed.
81 out of 121 events completed.
82 out of 121 events completed.
83 out of 121 events completed.
84 out of 121 events completed.
85 out of 121 events completed.
86 out of 121 events completed.
87 out of 121 events completed.
88 out of 121 events completed.
89 out of 121 events completed.
90 out of 121 events completed.
91 out of 121 events completed.
92 out of 121 events completed.
93 out of 121 events completed.
94 out of 121 events completed.
95 out of 121 events completed.
96 out of 121 events completed.
97 out of 121 events completed.
98 out of 121 events completed.
99 out of 121 events completed.
100 out of 121 events completed.
101 out of 121 events completed.
102 out of 121 events completed.
103 out of 121 events completed.
104 out of 121 events completed.
105 out of 121 events completed.
106 out of 121 events completed.
107 out of 121 events completed.
108 out of 121 events completed.
109 out of 121 events completed.
110 out of 121 events completed.
111 out of 121 events completed.
112 out of 121 events completed.
113 out of 121 events completed.
114 out of 121 events completed.
115 out of 121 events completed.
116 out of 121 events completed.
117 out of 121 events completed.
118 out of 121 events completed.
119 out of 121 events completed.
120 out of 121 events completed.
121 out of 121 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded


Number of events in the event file: 128
-- thereof: Number of events for which security identifiers and event dat
> es are available: 128
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 128
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 121

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 6
Number of events with insufficient market index/factor return data: 5

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 4
Number of events with insufficient market/index factor return data: 4
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 5


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20       116    .0036154                                            
>                                      ***           
    -19       118   -.0065784                                            
>                                                    
    -18       117   -.0037784                                            
>                                                    
    -17       117   -.0054868                                            
>                                       **           
    -16       117    .0104252        *            ***                   *
> **                                    **           
    -15       119    .0011452                                            
>  *                                   ***           
    -14       119    .0065931                      **                    
> **                                    **           
    -13       117    -.003451                                            
>                                                 *  
    -12       117     .009685        *                                   
>                                                    
    -11       117   -.0073762                                            
>                                                 *  
    -10       117   -.0066642                     ***                    
>  *                                                 
     -9       116   -.0010726                                            
>                                       **           
     -8       116    .0194389      ***     *      ***                    
>  *                                   ***      ***  
     -7       116     -.00551                                            
>                                       **           
     -6       116   -.0262245      ***    **       **                    
> **                  *        *       ***      ***  
     -5       116    -.005373                     ***           *       *
> **                                             **  
     -4       116    .0106379        *             **                    
> **                                   ***      ***  
     -3       118   -.0227545      ***    **      ***         ***       *
> **        *                                   ***  
     -2       117   -.0138661       **            ***                    
> **                                   ***      ***  
     -1       117   -.0063446                     ***           *        
> **                                     *       **  
      0       117    -.001625                     ***           *       *
> **                  *                 **        *  
      1       117   -.0401257      ***   ***      ***         ***       *
> **      ***       ***       **       ***      ***  
      2       119   -.0014615                                            
>                                                    
      3       116   -.0205619      ***     *       **                    
>                                       **      ***  
      4       116   -.0164346       **                                   
>                                                **  
      5       116    .0030903                                            
>                                                    
      6       118    .0051692                                            
>                                      ***      ***  
      7       118   -.0243145      ***    **      ***          **       *
> **                                            ***  
      8       118    .0024722                     ***           *       *
> **                  *       **       ***      ***  
      9       116   -.0082903                                            
>                                                **  
     10       116   -.0023842                                            
>                                                    

         t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ   Bo
> ehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   Wilc
> ox  
    [-1;1]       117   -.0357433      ***     *      ***         ***     
>   ***        *                                       **       **      *
> **  
     [0;2]       121    -.039489      ***    **      ***          **     
>    **                                               ***        *       
> **  
     [1;3]       114   -.0614277      ***   ***      ***         ***     
>   ***       **              **              *       ***      ***      *
> **  
     [2;4]       116    -.040438      ***    **       **                 
>                                                      **               *
> **  
     [3;5]       121   -.0274964      ***             **                 
>                                                                       *
> **  
     [4;6]       116   -.0083463                                         
>                                                                        
>     
     [5;7]       116   -.0083955                     ***                 
>     *                                                                  
>     
     [6;8]       120   -.0158012        *                                
>                                                      **                
>  *  
     [7;9]       116   -.0286077      ***             **                 
>                                                      **                
>     
    [8;10]       116   -.0145082                     ***                 
>     *                                                                  
>     
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  AAR_post
Cumulative average abnormal returns:  Car_Diag_Post_MinGR_top8Xtile
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Post_MinGR_top8Xtile
Logfile:  Diag_Post_MinGR_top8Xtile

. 
. // Gather info for CAAR 
.  
. use "Car_Diag_Pre_MinGR_top8Xtile.dta", clear 

. drop if _n==10
(1 observation deleted)

. mmerge t using "Car_Diag_Neg_MinGR_top8Xtile", type(1:1) missing(nomatc
> h) 

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_Pre_MinGR_top8Xtile.dta
                 obs |      9
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_Neg_MinGR_top8Xtile.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_Pre_MinGR_top8Xtile.dta
                 obs |     19
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |      9  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. mmerge t using "Car_Diag_Post_MinGR_top8Xtile", type(1:1) missing(nomat
> ch)

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_Pre_MinGR_top8Xtile.dta
                 obs |     19
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_Post_MinGR_top8Xtile.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_Pre_MinGR_top8Xtile.dta
                 obs |     29
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |     19  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. 
. gen tNum = ""
(29 missing values generated)

. replace tNum = usubstr(t, 1, ustrpos(t, ";") - 1)
variable tNum was str1 now str4
(29 real changes made)

. replace tNum = subinstr(tNum, "[", "",.) 
(29 real changes made)

. destring tNum, replace
tNum: all characters numeric; replaced as byte

. replace tNum = tNum+1
(29 real changes made)

. 
. order tNum, after(t)

. 
. replace CAARE = CAARE * 100
(29 real changes made)

. 
. // Corrado-Cowan CIs
. gen CILB = CAARE - 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. gen CIUB = CAARE + 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. 
. replace CILB = -10 if CILB<-10
(7 real changes made)

. replace CIUB = 20 if CIUB>20
(1 real change made)

. 
. sort tNum

. twoway line CAARE tNum, lcolor(red) lwidth(medthick) ///
> yscale(range(-10(5)20)) ylabel(-10(5)20) ///
> xlabel(-20(2)10) ///
> graphregion(color(white)) ///
> xtitle("Trading day to/from Trump Election 08/11/2016") ytitle("CAAR (i
> n %)") ///
> legend(off) ///
> xline(-10, lcolor(black)) xline(0, lcolor(black)) ///
> yline(0, lcolor(black)) ///
> text(18 -15 "Pre-election") ///
> text(18 -6 "Election") ///
> text(18 4 "Post-election") ///
> || rcap CILB CIUB tNum, lcolor(blue) 

. 
. graph export "${result}FigD2.pdf", replace
(file /Users/myramohnen/Dropbox/EventStudy_Paris/JAERE/ConditionalAccept/
> RESULTS/FigD2.pdf written in PDF format)

. 
. /*=====================================================================
> =========*/
. /* Figure D3: Baseline regression on EU15 */
. /*=====================================================================
> =========*/
. 
. use "List_PA_EU", clear

. 
. eventstudy3 ISIN Date using Returns_PA_EU, returns(Return_Unadj) /// 
> mod(FM) /// Fama French model 
> marketfile(Market_PA_EU) mar(MktNum) idmarket(Market_ID) /// 
> factor1(SMBNum) factor2(HMLNum) /// factors
> riskfreerate(RFNum) /// risk free 
> evwlb(-20) /// event window lower bound
> evwub(10) /// event window upper bound 
> eswlb(-121) /// estimation window lower bound 
> eswub(-21) /// estimation window upper bound 
> logreturns /// log returns
> car1LB(-12) car1UB(-10) /// CAR window 1 bounds
> car2LB(-13) car2UB(-11) /// CAR window 2 bounds
> car3LB(-14) car3UB(-12) /// CAR window 3 bounds
> car4LB(-15) car4UB(-13) /// CAR window 4 bounds
> car5LB(-16) car5UB(-14) /// CAR window 5 bounds
> car6LB(-17) car6UB(-15) /// CAR window 6 bounds
> car7LB(-18) car7UB(-16) /// CAR window 7 bounds
> car8LB(-19) car8UB(-17) /// CAR window 8 bounds
> car9LB(-20) car9UB(-18) /// CAR window 9 bounds
> archoption(1) garchoption(1) /// ARCH option GARCH option
> diagnosticsfile(Diag_Pre_MinGR_top8Xtile) /// output diagnostic 
> carfile(Car_Diag_Pre_MinGR_top8Xtile) /// output cumulative average abn
> ormal return file
> aarfile(AAR) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 61 events completed.
2 out of 61 events completed.
3 out of 61 events completed.
4 out of 61 events completed.
5 out of 61 events completed.
6 out of 61 events completed.
7 out of 61 events completed.
8 out of 61 events completed.
9 out of 61 events completed.
10 out of 61 events completed.
11 out of 61 events completed.
12 out of 61 events completed.
13 out of 61 events completed.
14 out of 61 events completed.
15 out of 61 events completed.
16 out of 61 events completed.
17 out of 61 events completed.
18 out of 61 events completed.
19 out of 61 events completed.
20 out of 61 events completed.
21 out of 61 events completed.
22 out of 61 events completed.
23 out of 61 events completed.
24 out of 61 events completed.
25 out of 61 events completed.
26 out of 61 events completed.
27 out of 61 events completed.
28 out of 61 events completed.
29 out of 61 events completed.
30 out of 61 events completed.
31 out of 61 events completed.
32 out of 61 events completed.
33 out of 61 events completed.
34 out of 61 events completed.
35 out of 61 events completed.
36 out of 61 events completed.
37 out of 61 events completed.
38 out of 61 events completed.
39 out of 61 events completed.
40 out of 61 events completed.
41 out of 61 events completed.
42 out of 61 events completed.
43 out of 61 events completed.
44 out of 61 events completed.
45 out of 61 events completed.
46 out of 61 events completed.
47 out of 61 events completed.
48 out of 61 events completed.
49 out of 61 events completed.
50 out of 61 events completed.
51 out of 61 events completed.
52 out of 61 events completed.
53 out of 61 events completed.
54 out of 61 events completed.
55 out of 61 events completed.
56 out of 61 events completed.
57 out of 61 events completed.
58 out of 61 events completed.
59 out of 61 events completed.
60 out of 61 events completed.
61 out of 61 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded

Warning: Some CAR window definitions (options carXLB and carXUB) have bee
> n changed because they were outside the event window.

Number of events in the event file: 61
-- thereof: Number of events for which security identifiers and event dat
> es are available: 61
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 61
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 61

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        61    .0066209      ***            ***                   *
> **                                   ***      ***  
    -19        61    .0024956                                            
>  *                                                 
    -18        61    .0053844       **              *                    
> **                                     *      ***  
    -17        61   -.0059547       **             **                   *
> **                                    **      ***  
    -16        61    .0026634                                            
> **                                              *  
    -15        61   -.0040893                       *                    
> **                                                 
    -14        61   -.0001722                                            
>                                                    
    -13        61    -.001368                                            
>                                      ***           
    -12        61    .0013822                                            
>                                                    
    -11        61    .0084975      ***            ***           *       *
> **                                   ***      ***  
    -10        61    .0017574                                            
>                                                    
     -9        61   -.0039211                                            
>                                       **        *  
     -8        61    .0015159                                            
>  *                                     *        *  
     -7        61   -.0161445      ***   ***      ***          **       *
> **      ***       ***      ***       ***      ***  
     -6        61    .0019321                                            
>                                                    
     -5        61    .0008935                                            
>                                                    
     -4        60   -.0077083      ***            ***                   *
> **                                    **      ***  
     -3        60   -.0125736      ***    **      ***          **        
> **                                   ***      ***  
     -2        61   -.0134961      ***    **      ***                    
>                                      ***        *  
     -1        61    .0007892                                            
>                                                    
      0        61    .0009702                                            
>                                      ***           
      1        61   -.0027093                                            
>                                                    
      2        61    .0103958      ***     *      ***                   *
> **                                   ***      ***  
      3        61    .0068691      ***             **                    
> **                                    **      ***  
      4        61     .006117       **             **                    
>                                                    
      5        61    .0003311                                            
>                                                    
      6        61   -.0033744                                            
>                                                **  
      7        61      .00063                                            
>                                                    
      8        40   -.0018611                                            
>                                                 *  
      9         0           .                                            
>                                                    
     10         0           .                                            
>                                                    

            t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ  
>  Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   W
> ilcox  
    [-12;-10]        61    .0116371      ***            ***           *  
>      ***                                               ***       **    
>   ***  
    [-13;-11]        61    .0085117        *            ***              
>      ***                                               ***             
>    **  
    [-14;-12]        61    -.000158                                      
>                                                                        
>        
    [-15;-13]        61   -.0056295                     ***              
>       **                                                               
>    **  
    [-16;-14]        61   -.0015981                                      
>                                                                        
>        
    [-17;-15]        61   -.0073806        *             **              
>        *                                                               
>     *  
    [-18;-16]        61    .0020931                                      
>                                                                        
>        
    [-19;-17]        61    .0019254                                      
>                                                                        
>        
    [-20;-18]        61    .0145009      ***            ***           *  
>      ***                                               ***       **    
>   ***  
     [-20;10]        39   -.0537436       **     *       **              
>                                                          *             
>    **  
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  AAR
Cumulative average abnormal returns:  Car_Diag_Pre_MinGR_top8Xtile
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Pre_MinGR_top8Xtile
Logfile:  Diag_Pre_MinGR_top8Xtile

. 
. use "List_PA_EU", clear

. 
. eventstudy3 ISIN Date using Returns_PA_EU, returns(Return_Unadj) /// 
> mod(FM) ///
> marketfile(Market_PA_EU) mar(MktNum) idmarket(Market_ID) /// 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> evwlb(-20) evwub(10) ///
> eswlb(-121) eswub(-21) ///
> logreturns ///
> car1LB(-2) car1UB(0) ///
> car2LB(-3) car2UB(-1) ///
> car3LB(-4) car3UB(-2) ///
> car4LB(-5) car4UB(-3) ///
> car5LB(-6) car5UB(-4) ///
> car6LB(-7) car6UB(-5) ///
> car7LB(-8) car7UB(-6) ///
> car8LB(-9) car8UB(-7) ///
> car9LB(-10) car9UB(-8) ///
> car10LB(-11) car10UB(-9) ///
> archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_Neg_MinGR_top8Xtile) ///
> carfile(Car_Diag_Neg_MinGR_top8Xtile) ///
> aarfile(AAR_neg) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 61 events completed.
2 out of 61 events completed.
3 out of 61 events completed.
4 out of 61 events completed.
5 out of 61 events completed.
6 out of 61 events completed.
7 out of 61 events completed.
8 out of 61 events completed.
9 out of 61 events completed.
10 out of 61 events completed.
11 out of 61 events completed.
12 out of 61 events completed.
13 out of 61 events completed.
14 out of 61 events completed.
15 out of 61 events completed.
16 out of 61 events completed.
17 out of 61 events completed.
18 out of 61 events completed.
19 out of 61 events completed.
20 out of 61 events completed.
21 out of 61 events completed.
22 out of 61 events completed.
23 out of 61 events completed.
24 out of 61 events completed.
25 out of 61 events completed.
26 out of 61 events completed.
27 out of 61 events completed.
28 out of 61 events completed.
29 out of 61 events completed.
30 out of 61 events completed.
31 out of 61 events completed.
32 out of 61 events completed.
33 out of 61 events completed.
34 out of 61 events completed.
35 out of 61 events completed.
36 out of 61 events completed.
37 out of 61 events completed.
38 out of 61 events completed.
39 out of 61 events completed.
40 out of 61 events completed.
41 out of 61 events completed.
42 out of 61 events completed.
43 out of 61 events completed.
44 out of 61 events completed.
45 out of 61 events completed.
46 out of 61 events completed.
47 out of 61 events completed.
48 out of 61 events completed.
49 out of 61 events completed.
50 out of 61 events completed.
51 out of 61 events completed.
52 out of 61 events completed.
53 out of 61 events completed.
54 out of 61 events completed.
55 out of 61 events completed.
56 out of 61 events completed.
57 out of 61 events completed.
58 out of 61 events completed.
59 out of 61 events completed.
60 out of 61 events completed.
61 out of 61 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded


Number of events in the event file: 61
-- thereof: Number of events for which security identifiers and event dat
> es are available: 61
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 61
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 61

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        61    .0066209      ***            ***                   *
> **                                   ***      ***  
    -19        61    .0024956                                            
>  *                                                 
    -18        61    .0053844       **              *                    
> **                                     *      ***  
    -17        61   -.0059547       **             **                   *
> **                                    **      ***  
    -16        61    .0026634                                            
> **                                              *  
    -15        61   -.0040893                       *                    
> **                                                 
    -14        61   -.0001722                                            
>                                                    
    -13        61    -.001368                                            
>                                      ***           
    -12        61    .0013822                                            
>                                                    
    -11        61    .0084975      ***            ***           *       *
> **                                   ***      ***  
    -10        61    .0017574                                            
>                                                    
     -9        61   -.0039211                                            
>                                       **        *  
     -8        61    .0015159                                            
>  *                                     *        *  
     -7        61   -.0161445      ***   ***      ***          **       *
> **      ***       ***      ***       ***      ***  
     -6        61    .0019321                                            
>                                                    
     -5        61    .0008935                                            
>                                                    
     -4        60   -.0077083      ***            ***                   *
> **                                    **      ***  
     -3        60   -.0125736      ***    **      ***          **        
> **                                   ***      ***  
     -2        61   -.0134961      ***    **      ***                    
>                                      ***        *  
     -1        61    .0007892                                            
>                                                    
      0        61    .0009702                                            
>                                      ***           
      1        61   -.0027093                                            
>                                                    
      2        61    .0103958      ***     *      ***                   *
> **                                   ***      ***  
      3        61    .0068691      ***             **                    
> **                                    **      ***  
      4        61     .006117       **             **                    
>                                                    
      5        61    .0003311                                            
>                                                    
      6        61   -.0033744                                            
>                                                **  
      7        61      .00063                                            
>                                                    
      8        40   -.0018611                                            
>                                                 *  
      9         0           .                                            
>                                                    
     10         0           .                                            
>                                                    

           t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ   
> Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   Wi
> lcox  
      [-2;0]        61   -.0117366      ***            ***               
>                                                                        
>       
     [-3;-1]        60   -.0249719      ***    **      ***         ***   
>      **                                               ***              
>   **  
     [-4;-2]        61     -.03363      ***   ***      ***         ***   
>     ***                                               ***        *     
>  ***  
     [-5;-3]        61   -.0192404      ***     *      ***          **   
>     ***                                               ***        *     
>  ***  
     [-6;-4]        60   -.0046489                                       
>                                                         *              
>       
     [-7;-5]        61   -.0133188      ***            ***          **   
>     ***       **                                       **       **     
>  ***  
     [-8;-6]        61   -.0126965      ***            ***               
>     ***                                                **              
>  ***  
     [-9;-7]        61   -.0185497      ***     *      ***               
>     ***                                               ***        *     
>  ***  
    [-10;-8]        61   -.0006478                                       
>                                                                        
>       
    [-11;-9]        61    .0063338                     ***           *   
>     ***                                                **        *     
>   **  
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  AAR_neg
Cumulative average abnormal returns:  Car_Diag_Neg_MinGR_top8Xtile
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Neg_MinGR_top8Xtile
Logfile:  Diag_Neg_MinGR_top8Xtile

.  
. use "List_PA_EU", clear

. 
. eventstudy3 ISIN Date using Returns_PA_EU, returns(Return_Unadj) /// 
> mod(FM) ///
> marketfile(Market_PA_EU) mar(MktNum) idmarket(Market_ID) /// 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> evwlb(-20)  evwub(10) ///
> eswlb(-121) eswub(-21) ///
> logreturns ///
> car1LB(-1) car1UB(1) ///
> car2LB(0) car2UB(2) ///
> car3LB(1) car3UB(3) ///
> car4LB(2) car4UB(4) ///
> car5LB(3) car5UB(5) ///
> car6LB(4) car6UB(6) ///
> car7LB(5) car7UB(7) ///
> car8LB(6) car8UB(8) ///
> car9LB(7) car9UB(9) ///
> car10LB(8) car10UB(10) ///
> archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_Post_MinGR_top8Xtile) ///
> carfile(Car_Diag_Post_MinGR_top8Xtile) ///
> aarfile(AAR_post) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 61 events completed.
2 out of 61 events completed.
3 out of 61 events completed.
4 out of 61 events completed.
5 out of 61 events completed.
6 out of 61 events completed.
7 out of 61 events completed.
8 out of 61 events completed.
9 out of 61 events completed.
10 out of 61 events completed.
11 out of 61 events completed.
12 out of 61 events completed.
13 out of 61 events completed.
14 out of 61 events completed.
15 out of 61 events completed.
16 out of 61 events completed.
17 out of 61 events completed.
18 out of 61 events completed.
19 out of 61 events completed.
20 out of 61 events completed.
21 out of 61 events completed.
22 out of 61 events completed.
23 out of 61 events completed.
24 out of 61 events completed.
25 out of 61 events completed.
26 out of 61 events completed.
27 out of 61 events completed.
28 out of 61 events completed.
29 out of 61 events completed.
30 out of 61 events completed.
31 out of 61 events completed.
32 out of 61 events completed.
33 out of 61 events completed.
34 out of 61 events completed.
35 out of 61 events completed.
36 out of 61 events completed.
37 out of 61 events completed.
38 out of 61 events completed.
39 out of 61 events completed.
40 out of 61 events completed.
41 out of 61 events completed.
42 out of 61 events completed.
43 out of 61 events completed.
44 out of 61 events completed.
45 out of 61 events completed.
46 out of 61 events completed.
47 out of 61 events completed.
48 out of 61 events completed.
49 out of 61 events completed.
50 out of 61 events completed.
51 out of 61 events completed.
52 out of 61 events completed.
53 out of 61 events completed.
54 out of 61 events completed.
55 out of 61 events completed.
56 out of 61 events completed.
57 out of 61 events completed.
58 out of 61 events completed.
59 out of 61 events completed.
60 out of 61 events completed.
61 out of 61 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded


Number of events in the event file: 61
-- thereof: Number of events for which security identifiers and event dat
> es are available: 61
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 61
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 61

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        61    .0066209      ***            ***                   *
> **                                   ***      ***  
    -19        61    .0024956                                            
>  *                                                 
    -18        61    .0053844       **              *                    
> **                                     *      ***  
    -17        61   -.0059547       **             **                   *
> **                                    **      ***  
    -16        61    .0026634                                            
> **                                              *  
    -15        61   -.0040893                       *                    
> **                                                 
    -14        61   -.0001722                                            
>                                                    
    -13        61    -.001368                                            
>                                      ***           
    -12        61    .0013822                                            
>                                                    
    -11        61    .0084975      ***            ***           *       *
> **                                   ***      ***  
    -10        61    .0017574                                            
>                                                    
     -9        61   -.0039211                                            
>                                       **        *  
     -8        61    .0015159                                            
>  *                                     *        *  
     -7        61   -.0161445      ***   ***      ***          **       *
> **      ***       ***      ***       ***      ***  
     -6        61    .0019321                                            
>                                                    
     -5        61    .0008935                                            
>                                                    
     -4        60   -.0077083      ***            ***                   *
> **                                    **      ***  
     -3        60   -.0125736      ***    **      ***          **        
> **                                   ***      ***  
     -2        61   -.0134961      ***    **      ***                    
>                                      ***        *  
     -1        61    .0007892                                            
>                                                    
      0        61    .0009702                                            
>                                      ***           
      1        61   -.0027093                                            
>                                                    
      2        61    .0103958      ***     *      ***                   *
> **                                   ***      ***  
      3        61    .0068691      ***             **                    
> **                                    **      ***  
      4        61     .006117       **             **                    
>                                                    
      5        61    .0003311                                            
>                                                    
      6        61   -.0033744                                            
>                                                **  
      7        61      .00063                                            
>                                                    
      8        40   -.0018611                                            
>                                                 *  
      9         0           .                                            
>                                                    
     10         0           .                                            
>                                                    

         t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ   Bo
> ehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   Wilc
> ox  
    [-1;1]        61   -.0009498                                         
>                                                                        
>     
     [0;2]        61    .0086568       **             **                 
>                                                     ***               *
> **  
     [1;3]        61    .0145556      ***            ***                 
>   ***                                               ***               *
> **  
     [2;4]        61    .0233818      ***    **      ***          **     
>   ***        *               *                      ***       **      *
> **  
     [3;5]        61    .0133171      ***            ***                 
>    **                                                **                
>  *  
     [4;6]        61    .0030736                                         
>                                                                        
>     
     [5;7]        61   -.0024133                                         
>                                                                        
>     
     [6;8]        40    -.003684                                         
>                                                       *                
>     
     [7;9]         0           .                                         
>                                                                        
>     
    [8;10]        39    -.006711        *                                
>                                                                        
> **  
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  AAR_post
Cumulative average abnormal returns:  Car_Diag_Post_MinGR_top8Xtile
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Post_MinGR_top8Xtile
Logfile:  Diag_Post_MinGR_top8Xtile

. 
. // Gather info for CAAR 
.  
. use "Car_Diag_Pre_MinGR_top8Xtile.dta", clear

. drop if _n==10
(1 observation deleted)

. mmerge t using "Car_Diag_Neg_MinGR_top8Xtile", type(1:1) missing(nomatc
> h) 

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_Pre_MinGR_top8Xtile.dta
                 obs |      9
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_Neg_MinGR_top8Xtile.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_Pre_MinGR_top8Xtile.dta
                 obs |     19
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |      9  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. mmerge t using "Car_Diag_Post_MinGR_top8Xtile", type(1:1) missing(nomat
> ch)

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_Pre_MinGR_top8Xtile.dta
                 obs |     19
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_Post_MinGR_top8Xtile.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_Pre_MinGR_top8Xtile.dta
                 obs |     29
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |     19  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. 
. gen tNum = ""
(29 missing values generated)

. replace tNum = usubstr(t, 1, ustrpos(t, ";") - 1)
variable tNum was str1 now str4
(29 real changes made)

. replace tNum = subinstr(tNum, "[", "",.) 
(29 real changes made)

. destring tNum, replace
tNum: all characters numeric; replaced as byte

. replace tNum = tNum+1
(29 real changes made)

. 
. order tNum, after(t)

. 
. replace CAARE = CAARE * 100
(28 real changes made)

. 
. // Corrado-Cowan CIs
. gen CILB = CAARE - 1.96*(abs(CAARE/NCAARECorrado_Cowan))
(1 missing value generated)

. gen CIUB = CAARE + 1.96*(abs(CAARE/NCAARECorrado_Cowan))
(1 missing value generated)

. 
. replace CILB = -10 if CILB<-10
(1 real change made)

. replace CIUB = 20 if CIUB>20
(2 real changes made)

. 
. sort tNum

. twoway line CAARE tNum, lcolor(red) lwidth(medthick) ///
> yscale(range(-10(5)20)) ylabel(-10(5)20) ///
> xlabel(-20(2)10) ///
> graphregion(color(white)) ///
> xtitle("Trading day to/from Monday 14/12/2015") ytitle("CAAR (in %)") /
> //
> legend(off) ///
> xline(-10, lcolor(black)) xline(0, lcolor(black)) ///
> yline(0, lcolor(black)) ///
> text(18 -15 "Pre-negotiation") ///
> text(18 -6 "Negotiation") ///
> text(18 5 "Post-negotiation") ///
> || rcap CILB CIUB tNum, lcolor(blue) 

. 
. graph export "${result}FigD3.pdf", replace
(file /Users/myramohnen/Dropbox/EventStudy_Paris/JAERE/ConditionalAccept/
> RESULTS/FigD3.pdf written in PDF format)

. 
. /*=====================================================================
> =========*/
. /* Figure D4. Baseline regression on Japan */
. /*=====================================================================
> =========*/
. 
. use "List_PA_JP", clear

. 
. eventstudy3 ISIN Date using Returns_PA_JP, returns(Return_Unadj) /// 
> mod(FM) /// Fama French model 
> marketfile(Market_PA_JP) mar(MktNum) idmarket(Market_ID) /// 
> factor1(SMBNum) factor2(HMLNum) /// factors
> riskfreerate(RFNum) /// risk free 
> evwlb(-20) /// event window lower bound
> evwub(10) /// event window upper bound 
> eswlb(-121) /// estimation window lower bound 
> eswub(-21) /// estimation window upper bound 
> logreturns /// log returns
> car1LB(-12) car1UB(-10) /// CAR window 1 bounds
> car2LB(-13) car2UB(-11) /// CAR window 2 bounds
> car3LB(-14) car3UB(-12) /// CAR window 3 bounds
> car4LB(-15) car4UB(-13) /// CAR window 4 bounds
> car5LB(-16) car5UB(-14) /// CAR window 5 bounds
> car6LB(-17) car6UB(-15) /// CAR window 6 bounds
> car7LB(-18) car7UB(-16) /// CAR window 7 bounds
> car8LB(-19) car8UB(-17) /// CAR window 8 bounds
> car9LB(-20) car9UB(-18) /// CAR window 9 bounds
> archoption(1) garchoption(1) /// ARCH option GARCH option
> diagnosticsfile(Diag_Pre_MinGR_top8Xtile) /// output diagnostic 
> carfile(Car_Diag_Pre_MinGR_top8Xtile) /// output cumulative average abn
> ormal return file
> aarfile(AAR) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 48 events completed.
2 out of 48 events completed.
3 out of 48 events completed.
4 out of 48 events completed.
5 out of 48 events completed.
6 out of 48 events completed.
7 out of 48 events completed.
8 out of 48 events completed.
9 out of 48 events completed.
10 out of 48 events completed.
11 out of 48 events completed.
12 out of 48 events completed.
13 out of 48 events completed.
14 out of 48 events completed.
15 out of 48 events completed.
16 out of 48 events completed.
17 out of 48 events completed.
18 out of 48 events completed.
19 out of 48 events completed.
20 out of 48 events completed.
21 out of 48 events completed.
22 out of 48 events completed.
23 out of 48 events completed.
24 out of 48 events completed.
25 out of 48 events completed.
26 out of 48 events completed.
27 out of 48 events completed.
28 out of 48 events completed.
29 out of 48 events completed.
30 out of 48 events completed.
31 out of 48 events completed.
32 out of 48 events completed.
33 out of 48 events completed.
34 out of 48 events completed.
35 out of 48 events completed.
36 out of 48 events completed.
37 out of 48 events completed.
38 out of 48 events completed.
39 out of 48 events completed.
40 out of 48 events completed.
41 out of 48 events completed.
42 out of 48 events completed.
43 out of 48 events completed.
44 out of 48 events completed.
45 out of 48 events completed.
46 out of 48 events completed.
47 out of 48 events completed.
48 out of 48 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded

Warning: Some CAR window definitions (options carXLB and carXUB) have bee
> n changed because they were outside the event window.

Number of events in the event file: 48
-- thereof: Number of events for which security identifiers and event dat
> es are available: 48
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 48
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 48

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        48    .0071431      ***            ***                    
> **                                   ***      ***  
    -19        48    .0050537        *                                   
> **                                              *  
    -18        48   -.0011527                                            
>                                                    
    -17        48   -.0053325       **            ***                   *
> **                                     *      ***  
    -16        48   -.0043291                                            
>  *                                     *       **  
    -15         0           .                                            
>                                                    
    -14         0           .                                            
>                                                    
    -13        48    .0041343                       *                    
> **                                    **       **  
    -12        48   -.0039893                                            
>                                        *       **  
    -11        48    .0001159                                            
>                                                    
    -10        48    .0012747                                            
>                                                    
     -9        48   -.0002695                                            
>                                                    
     -8        48    .0028767                       *                    
>  *                                    **       **  
     -7        48   -.0062961       **            ***                   *
> **                                   ***      ***  
     -6        48    .0059619       **            ***                   *
> **        *                  *       ***      ***  
     -5        48    .0002551                                            
>                                                    
     -4        48   -.0045387        *                                   
> **                                   ***      ***  
     -3        48   -.0100037      ***            ***                   *
> **                 **       **       ***      ***  
     -2        48    .0036634                                            
> **                                   ***       **  
     -1        48   -.0059692       **            ***                   *
> **                                   ***      ***  
      0        48    .0024789                                            
>  *                                    **       **  
      1        48    .0091693      ***            ***                   *
> **       **         *       **       ***      ***  
      2        48   -.0004508                                            
>                                                    
      3        48    .0030841                                            
>  *                                     *        *  
      4        48   -.0113442      ***     *      ***           *       *
> **       **        **       **       ***      ***  
      5        48    .0013472                                            
>                                                    
      6        48    .0050967        *            ***                   *
> **                                    **       **  
      7         0           .                                            
>                                                    
      8         0           .                                            
>                                                    
      9        48   -.0066554       **            ***                   *
> **                                    **       **  
     10        48    .0076669      ***            ***                    
> **                                    **       **  

            t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ  
>  Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   W
> ilcox  
    [-12;-10]        48   -.0025987                                      
>                                                                        
>        
    [-13;-11]        48    .0002608                                      
>                                                                        
>        
    [-14;-12]         0           .                                      
>                                                                        
>        
    [-15;-13]        48   -.0013137                                      
>                                                                        
>        
    [-16;-14]        48   -.0097771       **            ***              
>      ***                                       *        **             
>   ***  
    [-17;-15]         0           .                                      
>                                                                        
>        
    [-18;-16]        48   -.0108143       **             **              
>        *                                                 *             
>   ***  
    [-19;-17]        48   -.0014315                                      
>                                                                        
>        
    [-20;-18]        48    .0110441       **            ***           *  
>      ***                                               ***             
>   ***  
     [-20;10]        48   -.0091937                      **              
>                                                                        
>        
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  AAR
Cumulative average abnormal returns:  Car_Diag_Pre_MinGR_top8Xtile
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Pre_MinGR_top8Xtile
Logfile:  Diag_Pre_MinGR_top8Xtile

. 
. use "List_PA_JP", clear

. 
. eventstudy3 ISIN Date using Returns_PA_JP, returns(Return_Unadj) /// 
> mod(FM) ///
> marketfile(Market_PA_JP) mar(MktNum) idmarket(Market_ID) /// 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> evwlb(-20) evwub(10) ///
> eswlb(-121) eswub(-21) ///
> logreturns ///
> car1LB(-2) car1UB(0) ///
> car2LB(-3) car2UB(-1) ///
> car3LB(-4) car3UB(-2) ///
> car4LB(-5) car4UB(-3) ///
> car5LB(-6) car5UB(-4) ///
> car6LB(-7) car6UB(-5) ///
> car7LB(-8) car7UB(-6) ///
> car8LB(-9) car8UB(-7) ///
> car9LB(-10) car9UB(-8) ///
> car10LB(-11) car10UB(-9) ///
> archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_Neg_MinGR_top8Xtile) ///
> carfile(Car_Diag_Neg_MinGR_top8Xtile) ///
> aarfile(AAR_neg) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 48 events completed.
2 out of 48 events completed.
3 out of 48 events completed.
4 out of 48 events completed.
5 out of 48 events completed.
6 out of 48 events completed.
7 out of 48 events completed.
8 out of 48 events completed.
9 out of 48 events completed.
10 out of 48 events completed.
11 out of 48 events completed.
12 out of 48 events completed.
13 out of 48 events completed.
14 out of 48 events completed.
15 out of 48 events completed.
16 out of 48 events completed.
17 out of 48 events completed.
18 out of 48 events completed.
19 out of 48 events completed.
20 out of 48 events completed.
21 out of 48 events completed.
22 out of 48 events completed.
23 out of 48 events completed.
24 out of 48 events completed.
25 out of 48 events completed.
26 out of 48 events completed.
27 out of 48 events completed.
28 out of 48 events completed.
29 out of 48 events completed.
30 out of 48 events completed.
31 out of 48 events completed.
32 out of 48 events completed.
33 out of 48 events completed.
34 out of 48 events completed.
35 out of 48 events completed.
36 out of 48 events completed.
37 out of 48 events completed.
38 out of 48 events completed.
39 out of 48 events completed.
40 out of 48 events completed.
41 out of 48 events completed.
42 out of 48 events completed.
43 out of 48 events completed.
44 out of 48 events completed.
45 out of 48 events completed.
46 out of 48 events completed.
47 out of 48 events completed.
48 out of 48 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded


Number of events in the event file: 48
-- thereof: Number of events for which security identifiers and event dat
> es are available: 48
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 48
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 48

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        48    .0071431      ***            ***                    
> **                                   ***      ***  
    -19        48    .0050537        *                                   
> **                                              *  
    -18        48   -.0011527                                            
>                                                    
    -17        48   -.0053325       **            ***                   *
> **                                     *      ***  
    -16        48   -.0043291                                            
>  *                                     *       **  
    -15         0           .                                            
>                                                    
    -14         0           .                                            
>                                                    
    -13        48    .0041343                       *                    
> **                                    **       **  
    -12        48   -.0039893                                            
>                                        *       **  
    -11        48    .0001159                                            
>                                                    
    -10        48    .0012747                                            
>                                                    
     -9        48   -.0002695                                            
>                                                    
     -8        48    .0028767                       *                    
>  *                                    **       **  
     -7        48   -.0062961       **            ***                   *
> **                                   ***      ***  
     -6        48    .0059619       **            ***                   *
> **        *                  *       ***      ***  
     -5        48    .0002551                                            
>                                                    
     -4        48   -.0045387        *                                   
> **                                   ***      ***  
     -3        48   -.0100037      ***            ***                   *
> **                 **       **       ***      ***  
     -2        48    .0036634                                            
> **                                   ***       **  
     -1        48   -.0059692       **            ***                   *
> **                                   ***      ***  
      0        48    .0024789                                            
>  *                                    **       **  
      1        48    .0091693      ***            ***                   *
> **       **         *       **       ***      ***  
      2        48   -.0004508                                            
>                                                    
      3        48    .0030841                                            
>  *                                     *        *  
      4        48   -.0113442      ***     *      ***           *       *
> **       **        **       **       ***      ***  
      5        48    .0013472                                            
>                                                    
      6        48    .0050967        *            ***                   *
> **                                    **       **  
      7         0           .                                            
>                                                    
      8         0           .                                            
>                                                    
      9        48   -.0066554       **            ***                   *
> **                                    **       **  
     10        48    .0076669      ***            ***                    
> **                                    **       **  

           t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ   
> Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   Wi
> lcox  
      [-2;0]        48    .0001731                                       
>                                                                        
>       
     [-3;-1]        48   -.0123095      ***            ***               
>     ***                                               ***       **     
>  ***  
     [-4;-2]        48   -.0108791       **            ***               
>     ***                                               ***        *     
>  ***  
     [-5;-3]        48   -.0142874      ***            ***               
>     ***                                               ***       **     
>  ***  
     [-6;-4]        48    .0016783                       *               
>     ***                                                 *        *     
>       
     [-7;-5]        48   -.0000791                                       
>                                                                        
>       
     [-8;-6]        48    .0025425                                       
>                                                                        
>       
     [-9;-7]        48   -.0036888                                       
>                                                                        
>       
    [-10;-8]        48     .003882                                       
>                                                                        
>       
    [-11;-9]        48    .0011211                                       
>                                                                        
>       
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  AAR_neg
Cumulative average abnormal returns:  Car_Diag_Neg_MinGR_top8Xtile
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Neg_MinGR_top8Xtile
Logfile:  Diag_Neg_MinGR_top8Xtile

. 
. use "List_PA_JP", clear

. 
. eventstudy3 ISIN Date using Returns_PA_JP, returns(Return_Unadj) /// 
> mod(FM) ///
> marketfile(Market_PA_JP) mar(MktNum) idmarket(Market_ID) /// 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> evwlb(-20)  evwub(10) ///
> eswlb(-121) eswub(-21) ///
> logreturns ///
> car1LB(-1) car1UB(1) ///
> car2LB(0) car2UB(2) ///
> car3LB(1) car3UB(3) ///
> car4LB(2) car4UB(4) ///
> car5LB(3) car5UB(5) ///
> car6LB(4) car6UB(6) ///
> car7LB(5) car7UB(7) ///
> car8LB(6) car8UB(8) ///
> car9LB(7) car9UB(9) ///
> car10LB(8) car10UB(10) ///
> archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_Post_MinGR_top8Xtile) ///
> carfile(Car_Diag_Post_MinGR_top8Xtile) ///
> aarfile(AAR_post) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 48 events completed.
2 out of 48 events completed.
3 out of 48 events completed.
4 out of 48 events completed.
5 out of 48 events completed.
6 out of 48 events completed.
7 out of 48 events completed.
8 out of 48 events completed.
9 out of 48 events completed.
10 out of 48 events completed.
11 out of 48 events completed.
12 out of 48 events completed.
13 out of 48 events completed.
14 out of 48 events completed.
15 out of 48 events completed.
16 out of 48 events completed.
17 out of 48 events completed.
18 out of 48 events completed.
19 out of 48 events completed.
20 out of 48 events completed.
21 out of 48 events completed.
22 out of 48 events completed.
23 out of 48 events completed.
24 out of 48 events completed.
25 out of 48 events completed.
26 out of 48 events completed.
27 out of 48 events completed.
28 out of 48 events completed.
29 out of 48 events completed.
30 out of 48 events completed.
31 out of 48 events completed.
32 out of 48 events completed.
33 out of 48 events completed.
34 out of 48 events completed.
35 out of 48 events completed.
36 out of 48 events completed.
37 out of 48 events completed.
38 out of 48 events completed.
39 out of 48 events completed.
40 out of 48 events completed.
41 out of 48 events completed.
42 out of 48 events completed.
43 out of 48 events completed.
44 out of 48 events completed.
45 out of 48 events completed.
46 out of 48 events completed.
47 out of 48 events completed.
48 out of 48 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded


Number of events in the event file: 48
-- thereof: Number of events for which security identifiers and event dat
> es are available: 48
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 48
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 48

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        48    .0071431      ***            ***                    
> **                                   ***      ***  
    -19        48    .0050537        *                                   
> **                                              *  
    -18        48   -.0011527                                            
>                                                    
    -17        48   -.0053325       **            ***                   *
> **                                     *      ***  
    -16        48   -.0043291                                            
>  *                                     *       **  
    -15         0           .                                            
>                                                    
    -14         0           .                                            
>                                                    
    -13        48    .0041343                       *                    
> **                                    **       **  
    -12        48   -.0039893                                            
>                                        *       **  
    -11        48    .0001159                                            
>                                                    
    -10        48    .0012747                                            
>                                                    
     -9        48   -.0002695                                            
>                                                    
     -8        48    .0028767                       *                    
>  *                                    **       **  
     -7        48   -.0062961       **            ***                   *
> **                                   ***      ***  
     -6        48    .0059619       **            ***                   *
> **        *                  *       ***      ***  
     -5        48    .0002551                                            
>                                                    
     -4        48   -.0045387        *                                   
> **                                   ***      ***  
     -3        48   -.0100037      ***            ***                   *
> **                 **       **       ***      ***  
     -2        48    .0036634                                            
> **                                   ***       **  
     -1        48   -.0059692       **            ***                   *
> **                                   ***      ***  
      0        48    .0024789                                            
>  *                                    **       **  
      1        48    .0091693      ***            ***                   *
> **       **         *       **       ***      ***  
      2        48   -.0004508                                            
>                                                    
      3        48    .0030841                                            
>  *                                     *        *  
      4        48   -.0113442      ***     *      ***           *       *
> **       **        **       **       ***      ***  
      5        48    .0013472                                            
>                                                    
      6        48    .0050967        *            ***                   *
> **                                    **       **  
      7         0           .                                            
>                                                    
      8         0           .                                            
>                                                    
      9        48   -.0066554       **            ***                   *
> **                                    **       **  
     10        48    .0076669      ***            ***                    
> **                                    **       **  

         t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ   Bo
> ehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   Wilc
> ox  
    [-1;1]        48     .005679                                         
>                                                      **                
> **  
     [0;2]        48    .0111974       **            ***                 
>   ***                                       *       ***       **      *
> **  
     [1;3]        48    .0118026       **            ***           *     
>   ***        *                              *       ***      ***      *
> **  
     [2;4]        48    -.008711        *                                
>                                                      **                
> **  
     [3;5]        48    -.006913                      **                 
>     *                                                **                
>  *  
     [4;6]        48   -.0049003                     ***                 
>   ***                                                                  
>     
     [5;7]         0           .                                         
>                                                                        
>     
     [6;8]        48    .0023604                       *                 
>                                                                        
>     
     [7;9]        48   -.0093918       **            ***                 
>   ***                                                 *               *
> **  
    [8;10]         0           .                                         
>                                                                        
>     
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  AAR_post
Cumulative average abnormal returns:  Car_Diag_Post_MinGR_top8Xtile
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Post_MinGR_top8Xtile
Logfile:  Diag_Post_MinGR_top8Xtile

. 
. // Gather info for CAAR 
.  
. use "Car_Diag_Pre_MinGR_top8Xtile.dta", clear // This is the data for t
> he pre-negotiation period

. 
. drop if _n==10
(1 observation deleted)

. mmerge t using "Car_Diag_Neg_MinGR_top8Xtile", type(1:1) missing(nomatc
> h) // This is the data for the negotiation period 

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_Pre_MinGR_top8Xtile.dta
                 obs |      9
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_Neg_MinGR_top8Xtile.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_Pre_MinGR_top8Xtile.dta
                 obs |     19
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |      9  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. mmerge t using "Car_Diag_Post_MinGR_top8Xtile", type(1:1) missing(nomat
> ch) // This is the data for the post - negotiation period 

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_Pre_MinGR_top8Xtile.dta
                 obs |     19
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_Post_MinGR_top8Xtile.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_Pre_MinGR_top8Xtile.dta
                 obs |     29
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |     19  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. 
. gen tNum = ""
(29 missing values generated)

. replace tNum = usubstr(t, 1, ustrpos(t, ";") - 1)
variable tNum was str1 now str4
(29 real changes made)

. replace tNum = subinstr(tNum, "[", "",.) 
(29 real changes made)

. destring tNum, replace
tNum: all characters numeric; replaced as byte

. replace tNum = tNum+1
(29 real changes made)

. 
. order tNum, after(t)

. 
. replace CAARE = CAARE * 100
(25 real changes made)

. 
. // Corrado-Cowan CIs
. gen CILB = CAARE - 1.96*(abs(CAARE/NCAARECorrado_Cowan))
(4 missing values generated)

. gen CIUB = CAARE + 1.96*(abs(CAARE/NCAARECorrado_Cowan))
(4 missing values generated)

. 
. replace CILB = -10 if CILB<-10
(0 real changes made)

. replace CIUB = 20 if CIUB>20
(4 real changes made)

. 
. sort tNum

. twoway line CAARE tNum, lcolor(red) lwidth(medthick) ///
> yscale(range(-10(5)20)) ylabel(-10(5)20) ///
> xlabel(-20(2)10) ///
> graphregion(color(white)) ///
> xtitle("Trading day to/from Monday 14/12/2015") ytitle("CAAR (in %)") /
> //
> legend(off) ///
> xline(-10, lcolor(black)) xline(0, lcolor(black)) ///
> yline(0, lcolor(black)) ///
> text(18 -15 "Pre-negotiation") ///
> text(18 -6 "Negotiation") ///
> text(18 5 "Post-negotiation") ///
> || rcap CILB CIUB tNum, lcolor(blue) 

. 
. graph export "${result}FigD4.pdf", replace
(file /Users/myramohnen/Dropbox/EventStudy_Paris/JAERE/ConditionalAccept/
> RESULTS/FigD4.pdf written in PDF format)

. 
. /*=====================================================================
> =========*/
. /* Figure D5. Baseline regression with 4th factor  */
. /*=====================================================================
> =========*/
. 
. use "List_US_MinGR_top8Xtile.dta", clear

. 
. eventstudy3 ISIN Date using Returns_US_MinGR_top8Xtile, returns(Return_
> Unadj) /// 
> mod(FM) /// Fama French model 
> marketfile(Market_Gostlow) mar(MktNum) idmarket(Market_ID) /// 
> factor1(SMBNum) factor2(HMLNum) factor3(ls_cum) /// 
> riskfreerate(RFNum) /// risk free 
> evwlb(-20) /// event window lower bound
> evwub(10) /// event window upper bound 
> eswlb(-121) /// estimation window lower bound 
> eswub(-21) /// estimation window upper bound 
> logreturns /// log returns
> car1LB(-12) car1UB(-10) /// CAR window 1 bounds
> car2LB(-13) car2UB(-11) /// CAR window 2 bounds
> car3LB(-14) car3UB(-12) /// CAR window 3 bounds
> car4LB(-15) car4UB(-13) /// CAR window 4 bounds
> car5LB(-16) car5UB(-14) /// CAR window 5 bounds
> car6LB(-17) car6UB(-15) /// CAR window 6 bounds
> car7LB(-18) car7UB(-16) /// CAR window 7 bounds
> car8LB(-19) car8UB(-17) /// CAR window 8 bounds
> car9LB(-20) car9UB(-18) /// CAR window 9 bounds
> archoption(1) garchoption(1) /// ARCH option GARCH option
> diagnosticsfile(Diag_Pre_MinGR_top8Xtile) /// output diagnostic 
> carfile(Car_Diag_Pre_MinGR_top8Xtile) /// output cumulative average abn
> ormal return file
> aarfile(AAR) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 63 events completed.
2 out of 63 events completed.
3 out of 63 events completed.
4 out of 63 events completed.
5 out of 63 events completed.
6 out of 63 events completed.
7 out of 63 events completed.
8 out of 63 events completed.
9 out of 63 events completed.
10 out of 63 events completed.
11 out of 63 events completed.
12 out of 63 events completed.
13 out of 63 events completed.
14 out of 63 events completed.
15 out of 63 events completed.
16 out of 63 events completed.
17 out of 63 events completed.
18 out of 63 events completed.
19 out of 63 events completed.
20 out of 63 events completed.
21 out of 63 events completed.
22 out of 63 events completed.
23 out of 63 events completed.
24 out of 63 events completed.
25 out of 63 events completed.
26 out of 63 events completed.
27 out of 63 events completed.
28 out of 63 events completed.
29 out of 63 events completed.
30 out of 63 events completed.
31 out of 63 events completed.
32 out of 63 events completed.
33 out of 63 events completed.
34 out of 63 events completed.
35 out of 63 events completed.
36 out of 63 events completed.
37 out of 63 events completed.
38 out of 63 events completed.
39 out of 63 events completed.
40 out of 63 events completed.
41 out of 63 events completed.
42 out of 63 events completed.
43 out of 63 events completed.
44 out of 63 events completed.
45 out of 63 events completed.
46 out of 63 events completed.
47 out of 63 events completed.
48 out of 63 events completed.
49 out of 63 events completed.
50 out of 63 events completed.
51 out of 63 events completed.
52 out of 63 events completed.
53 out of 63 events completed.
54 out of 63 events completed.
55 out of 63 events completed.
56 out of 63 events completed.
57 out of 63 events completed.
58 out of 63 events completed.
59 out of 63 events completed.
60 out of 63 events completed.
61 out of 63 events completed.
62 out of 63 events completed.
63 out of 63 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded

Warning: Some CAR window definitions (options carXLB and carXUB) have bee
> n changed because they were outside the event window.

Number of events in the event file: 63
-- thereof: Number of events for which security identifiers and event dat
> es are available: 63
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 63
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 63

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        63    .0097165                                            
>                                                    
    -19        63     .001124                                            
>                                                    
    -18        63   -.0234069      ***   ***      ***         ***       *
> **       **        **       **       ***      ***  
    -17        63   -.0046786                                            
>                                                    
    -16        63    .0028581                       *                    
>                                       **           
    -15        63    7.40e-06                                            
>                                                    
    -14        63      .00404                                            
>                                        *           
    -13        63    -.000463                                            
>                                                    
    -12        63    -.005742                                            
>                                                    
    -11        63    .0040629                                            
> **                                    **       **  
    -10        63    .0075929                      **                    
> **                                    **        *  
     -9        63    .0174422      ***    **      ***           *        
> **                                     *      ***  
     -8        63    .0044551                                            
>                                                    
     -7        63    .0048047                                            
>                                        *        *  
     -6        63   -.0080542                      **                    
> **                                              *  
     -5        63     .000742                                            
>                                                    
     -4        63    .0009221                                            
>                                                    
     -3        63    .0154875       **     *      ***           *        
>  *                                    **       **  
     -2        63    .0005867                                            
>                                                    
     -1        63     .046702      ***   ***      ***          **        
>                                                    
      0        63    .0131747       **             **                    
> **                                     *      ***  
      1        63       .0119        *             **                    
>  *                                                 
      2        63    .0274521      ***   ***      ***         ***       *
> **      ***       ***      ***       ***      ***  
      3        63    .0151484       **     *       **                    
>  *                                    **       **  
      4        63    .0176697      ***    **      ***         ***       *
> **       **        **       **       ***      ***  
      5        63    .0066364                                            
>                                                    
      6        63   -.0146137       **     *                             
>                                                **  
      7        63   -.0065986                                            
>                                       **           
      8        63   -.0001632                                            
>                                                    
      9        63    .0031011                                            
> **                                                 
     10        63   -.0039604                                            
>                                                    

            t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ  
>  Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   W
> ilcox  
    [-12;-10]        63    .0059138                       *              
>                                                          *             
>        
    [-13;-11]        63   -.0021421                                      
>                                                                        
>        
    [-14;-12]        63    -.002165                                      
>                                                                        
>        
    [-15;-13]        63    .0035844                                      
>                                                                        
>        
    [-16;-14]        63    .0069055                      **              
>                                                                        
>        
    [-17;-15]        63   -.0018131                                      
>                                                                        
>        
    [-18;-16]        63   -.0252275       **            ***         ***  
>       **                                                               
>     *  
    [-19;-17]        63   -.0269615       **     *      ***          **  
>       **                                                               
>   ***  
    [-20;-18]        63   -.0125664                                      
>                                                                        
>        
     [-20;10]        63    .1479457      ***   ***      ***         ***  
>       **                       **              *       ***        *    
>   ***  
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  AAR
Cumulative average abnormal returns:  Car_Diag_Pre_MinGR_top8Xtile
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Pre_MinGR_top8Xtile
Logfile:  Diag_Pre_MinGR_top8Xtile

. 
. use "List_US_MinGR_top8Xtile.dta", clear

. 
. eventstudy3 ISIN Date using Returns_US_MinGR_top8Xtile, returns(Return_
> Unadj) /// 
> mod(FM) ///
> marketfile(Market_Gostlow) mar(MktNum) idmarket(Market_ID) /// 
> factor1(SMBNum) factor2(HMLNum) factor3(ls_cum) riskfreerate(RFNum) ///
> evwlb(-20) evwub(10) ///
> eswlb(-121) eswub(-21) ///
> logreturns ///
> car1LB(-2) car1UB(0) ///
> car2LB(-3) car2UB(-1) ///
> car3LB(-4) car3UB(-2) ///
> car4LB(-5) car4UB(-3) ///
> car5LB(-6) car5UB(-4) ///
> car6LB(-7) car6UB(-5) ///
> car7LB(-8) car7UB(-6) ///
> car8LB(-9) car8UB(-7) ///
> car9LB(-10) car9UB(-8) ///
> car10LB(-11) car10UB(-9) ///
> archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_Neg_MinGR_top8Xtile) ///
> carfile(Car_Diag_Neg_MinGR_top8Xtile) ///
> aarfile(AAR_neg) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 63 events completed.
2 out of 63 events completed.
3 out of 63 events completed.
4 out of 63 events completed.
5 out of 63 events completed.
6 out of 63 events completed.
7 out of 63 events completed.
8 out of 63 events completed.
9 out of 63 events completed.
10 out of 63 events completed.
11 out of 63 events completed.
12 out of 63 events completed.
13 out of 63 events completed.
14 out of 63 events completed.
15 out of 63 events completed.
16 out of 63 events completed.
17 out of 63 events completed.
18 out of 63 events completed.
19 out of 63 events completed.
20 out of 63 events completed.
21 out of 63 events completed.
22 out of 63 events completed.
23 out of 63 events completed.
24 out of 63 events completed.
25 out of 63 events completed.
26 out of 63 events completed.
27 out of 63 events completed.
28 out of 63 events completed.
29 out of 63 events completed.
30 out of 63 events completed.
31 out of 63 events completed.
32 out of 63 events completed.
33 out of 63 events completed.
34 out of 63 events completed.
35 out of 63 events completed.
36 out of 63 events completed.
37 out of 63 events completed.
38 out of 63 events completed.
39 out of 63 events completed.
40 out of 63 events completed.
41 out of 63 events completed.
42 out of 63 events completed.
43 out of 63 events completed.
44 out of 63 events completed.
45 out of 63 events completed.
46 out of 63 events completed.
47 out of 63 events completed.
48 out of 63 events completed.
49 out of 63 events completed.
50 out of 63 events completed.
51 out of 63 events completed.
52 out of 63 events completed.
53 out of 63 events completed.
54 out of 63 events completed.
55 out of 63 events completed.
56 out of 63 events completed.
57 out of 63 events completed.
58 out of 63 events completed.
59 out of 63 events completed.
60 out of 63 events completed.
61 out of 63 events completed.
62 out of 63 events completed.
63 out of 63 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded


Number of events in the event file: 63
-- thereof: Number of events for which security identifiers and event dat
> es are available: 63
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 63
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 63

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        63    .0097165                                            
>                                                    
    -19        63     .001124                                            
>                                                    
    -18        63   -.0234069      ***   ***      ***         ***       *
> **       **        **       **       ***      ***  
    -17        63   -.0046786                                            
>                                                    
    -16        63    .0028581                       *                    
>                                       **           
    -15        63    7.40e-06                                            
>                                                    
    -14        63      .00404                                            
>                                        *           
    -13        63    -.000463                                            
>                                                    
    -12        63    -.005742                                            
>                                                    
    -11        63    .0040629                                            
> **                                    **       **  
    -10        63    .0075929                      **                    
> **                                    **        *  
     -9        63    .0174422      ***    **      ***           *        
> **                                     *      ***  
     -8        63    .0044551                                            
>                                                    
     -7        63    .0048047                                            
>                                        *        *  
     -6        63   -.0080542                      **                    
> **                                              *  
     -5        63     .000742                                            
>                                                    
     -4        63    .0009221                                            
>                                                    
     -3        63    .0154875       **     *      ***           *        
>  *                                    **       **  
     -2        63    .0005867                                            
>                                                    
     -1        63     .046702      ***   ***      ***          **        
>                                                    
      0        63    .0131747       **             **                    
> **                                     *      ***  
      1        63       .0119        *             **                    
>  *                                                 
      2        63    .0274521      ***   ***      ***         ***       *
> **      ***       ***      ***       ***      ***  
      3        63    .0151484       **     *       **                    
>  *                                    **       **  
      4        63    .0176697      ***    **      ***         ***       *
> **       **        **       **       ***      ***  
      5        63    .0066364                                            
>                                                    
      6        63   -.0146137       **     *                             
>                                                **  
      7        63   -.0065986                                            
>                                       **           
      8        63   -.0001632                                            
>                                                    
      9        63    .0031011                                            
> **                                                 
     10        63   -.0039604                                            
>                                                    

           t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ   
> Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   Wi
> lcox  
      [-2;0]        63    .0604635      ***   ***      ***               
>                                                         *              
>   **  
     [-3;-1]        63    .0627762      ***   ***      ***          **   
>                                                                        
>   **  
     [-4;-2]        63    .0169963                       *               
>                                                                        
>       
     [-5;-3]        63    .0171515                       *               
>                                                        **        *     
>   **  
     [-6;-4]        63   -.0063901                       *               
>                                                                        
>       
     [-7;-5]        63   -.0025074                                       
>                                                                        
>       
     [-8;-6]        63    .0012057                                       
>                                                                        
>       
     [-9;-7]        63     .026702       **     *      ***          **   
>      **                        *              *                        
>  ***  
    [-10;-8]        63    .0294901       **     *      ***         ***   
>     ***        *               *              *       ***       **     
>  ***  
    [-11;-9]        63    .0290979       **     *      ***         ***   
>     ***      ***              **             **       ***      ***     
>  ***  
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  AAR_neg
Cumulative average abnormal returns:  Car_Diag_Neg_MinGR_top8Xtile
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Neg_MinGR_top8Xtile
Logfile:  Diag_Neg_MinGR_top8Xtile

. 
. use "List_US_MinGR_top8Xtile.dta", clear

. 
. eventstudy3 ISIN Date using Returns_US_MinGR_top8Xtile, returns(Return_
> Unadj) /// 
> mod(FM) ///
> marketfile(Market_Gostlow) mar(MktNum) idmarket(Market_ID) /// 
> factor1(SMBNum) factor2(HMLNum) factor3(ls_cum) riskfreerate(RFNum) ///
> evwlb(-20)  evwub(10) ///
> eswlb(-121) eswub(-21) ///
> logreturns ///
> car1LB(-1) car1UB(1) ///
> car2LB(0) car2UB(2) ///
> car3LB(1) car3UB(3) ///
> car4LB(2) car4UB(4) ///
> car5LB(3) car5UB(5) ///
> car6LB(4) car6UB(6) ///
> car7LB(5) car7UB(7) ///
> car8LB(6) car8UB(8) ///
> car9LB(7) car9UB(9) ///
> car10LB(8) car10UB(10) ///
> archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_Post_MinGR_top8Xtile) ///
> carfile(Car_Diag_Post_MinGR_top8Xtile) ///
> aarfile(AAR_post) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 63 events completed.
2 out of 63 events completed.
3 out of 63 events completed.
4 out of 63 events completed.
5 out of 63 events completed.
6 out of 63 events completed.
7 out of 63 events completed.
8 out of 63 events completed.
9 out of 63 events completed.
10 out of 63 events completed.
11 out of 63 events completed.
12 out of 63 events completed.
13 out of 63 events completed.
14 out of 63 events completed.
15 out of 63 events completed.
16 out of 63 events completed.
17 out of 63 events completed.
18 out of 63 events completed.
19 out of 63 events completed.
20 out of 63 events completed.
21 out of 63 events completed.
22 out of 63 events completed.
23 out of 63 events completed.
24 out of 63 events completed.
25 out of 63 events completed.
26 out of 63 events completed.
27 out of 63 events completed.
28 out of 63 events completed.
29 out of 63 events completed.
30 out of 63 events completed.
31 out of 63 events completed.
32 out of 63 events completed.
33 out of 63 events completed.
34 out of 63 events completed.
35 out of 63 events completed.
36 out of 63 events completed.
37 out of 63 events completed.
38 out of 63 events completed.
39 out of 63 events completed.
40 out of 63 events completed.
41 out of 63 events completed.
42 out of 63 events completed.
43 out of 63 events completed.
44 out of 63 events completed.
45 out of 63 events completed.
46 out of 63 events completed.
47 out of 63 events completed.
48 out of 63 events completed.
49 out of 63 events completed.
50 out of 63 events completed.
51 out of 63 events completed.
52 out of 63 events completed.
53 out of 63 events completed.
54 out of 63 events completed.
55 out of 63 events completed.
56 out of 63 events completed.
57 out of 63 events completed.
58 out of 63 events completed.
59 out of 63 events completed.
60 out of 63 events completed.
61 out of 63 events completed.
62 out of 63 events completed.
63 out of 63 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded


Number of events in the event file: 63
-- thereof: Number of events for which security identifiers and event dat
> es are available: 63
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 63
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 63

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        63    .0097165                                            
>                                                    
    -19        63     .001124                                            
>                                                    
    -18        63   -.0234069      ***   ***      ***         ***       *
> **       **        **       **       ***      ***  
    -17        63   -.0046786                                            
>                                                    
    -16        63    .0028581                       *                    
>                                       **           
    -15        63    7.40e-06                                            
>                                                    
    -14        63      .00404                                            
>                                        *           
    -13        63    -.000463                                            
>                                                    
    -12        63    -.005742                                            
>                                                    
    -11        63    .0040629                                            
> **                                    **       **  
    -10        63    .0075929                      **                    
> **                                    **        *  
     -9        63    .0174422      ***    **      ***           *        
> **                                     *      ***  
     -8        63    .0044551                                            
>                                                    
     -7        63    .0048047                                            
>                                        *        *  
     -6        63   -.0080542                      **                    
> **                                              *  
     -5        63     .000742                                            
>                                                    
     -4        63    .0009221                                            
>                                                    
     -3        63    .0154875       **     *      ***           *        
>  *                                    **       **  
     -2        63    .0005867                                            
>                                                    
     -1        63     .046702      ***   ***      ***          **        
>                                                    
      0        63    .0131747       **             **                    
> **                                     *      ***  
      1        63       .0119        *             **                    
>  *                                                 
      2        63    .0274521      ***   ***      ***         ***       *
> **      ***       ***      ***       ***      ***  
      3        63    .0151484       **     *       **                    
>  *                                    **       **  
      4        63    .0176697      ***    **      ***         ***       *
> **       **        **       **       ***      ***  
      5        63    .0066364                                            
>                                                    
      6        63   -.0146137       **     *                             
>                                                **  
      7        63   -.0065986                                            
>                                       **           
      8        63   -.0001632                                            
>                                                    
      9        63    .0031011                                            
> **                                                 
     10        63   -.0039604                                            
>                                                    

         t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ   Bo
> ehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   Wilc
> ox  
    [-1;1]        63    .0717767      ***   ***      ***         ***     
>     *                        *                      ***        *       
> **  
     [0;2]        63    .0525268      ***   ***      ***         ***     
>   ***       **             ***            ***       ***      ***      *
> **  
     [1;3]        63    .0545005      ***   ***      ***         ***     
>   ***      ***             ***            ***       ***      ***      *
> **  
     [2;4]        63    .0602702      ***   ***      ***         ***     
>   ***      ***             ***            ***       ***      ***      *
> **  
     [3;5]        63    .0394545      ***    **      ***         ***     
>   ***       **             ***             **       ***      ***      *
> **  
     [4;6]        63    .0096923                     ***         ***     
>   ***       **                                        *      ***       
>     
     [5;7]        63    -.014576                                         
>                                                                        
>     
     [6;8]        63   -.0213756        *             **                 
>     *                                                **       **       
> **  
     [7;9]        63   -.0036607                                         
>                                                                        
>     
    [8;10]        63   -.0010225                                         
>                                                                        
>     
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  AAR_post
Cumulative average abnormal returns:  Car_Diag_Post_MinGR_top8Xtile
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Post_MinGR_top8Xtile
Logfile:  Diag_Post_MinGR_top8Xtile

. 
. 
. use "Car_Diag_Pre_MinGR_top8Xtile.dta", clear 

. drop if _n==10
(1 observation deleted)

. mmerge t using "Car_Diag_Neg_MinGR_top8Xtile", type(1:1) missing(nomatc
> h) 

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_Pre_MinGR_top8Xtile.dta
                 obs |      9
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_Neg_MinGR_top8Xtile.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_Pre_MinGR_top8Xtile.dta
                 obs |     19
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |      9  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. mmerge t using "Car_Diag_Post_MinGR_top8Xtile", type(1:1) missing(nomat
> ch)

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_Pre_MinGR_top8Xtile.dta
                 obs |     19
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_Post_MinGR_top8Xtile.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_Pre_MinGR_top8Xtile.dta
                 obs |     29
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |     19  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. 
. gen tNum = ""
(29 missing values generated)

. replace tNum = usubstr(t, 1, ustrpos(t, ";") - 1)
variable tNum was str1 now str4
(29 real changes made)

. replace tNum = subinstr(tNum, "[", "",.) 
(29 real changes made)

. destring tNum, replace
tNum: all characters numeric; replaced as byte

. replace tNum = tNum+1
(29 real changes made)

. 
. order tNum, after(t)

. 
. replace CAARE = CAARE * 100
(29 real changes made)

. 
. // Corrado-Cowan CIs
. gen CILB = CAARE - 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. gen CIUB = CAARE + 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. 
. replace CILB = -10 if CILB<-10
(0 real changes made)

. replace CIUB = 20 if CIUB>20
(0 real changes made)

. 
. sort tNum

. twoway line CAARE tNum, lcolor(red) lwidth(medthick) ///
> yscale(range(-10(5)20)) ylabel(-10(5)20) ///
> xlabel(-20(2)10) ///
> graphregion(color(white)) ///
> xtitle("Trading day to/from Monday 14/12/2015") ytitle("CAAR (in %)") /
> //
> legend(off) ///
> xline(-10, lcolor(black)) xline(0, lcolor(black)) ///
> yline(0, lcolor(black)) ///
> text(18 -15 "Pre-negotiation") ///
> text(18 -6 "Negotiation") ///
> text(18 5 "Post-negotiation") ///
> || rcap CILB CIUB tNum, lcolor(blue) 

. 
. graph export "${result}FigD5.pdf", replace
(file /Users/myramohnen/Dropbox/EventStudy_Paris/JAERE/ConditionalAccept/
> RESULTS/FigD5.pdf written in PDF format)

. 
. /*=====================================================================
> =========*/
. /* Figures D6. Firms with high climate related risk measures based on m
> edian */
. /*=====================================================================
> =========*/
. 
. use "List_high_ph_expo_ew", clear

. 
. eventstudy3 ISIN Date using Returns_high_ph_expo_ew, returns(Return_Una
> dj) /// 
> mod(FM) /// Fama French model 
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) /// factors
> riskfreerate(RFNum) /// risk free 
> evwlb(-20) /// event window lower bound
> evwub(10) /// event window upper bound 
> eswlb(-121) /// estimation window lower bound 
> eswub(-21) /// estimation window upper bound 
> logreturns /// log returns
> car1LB(-12) car1UB(-10) /// CAR window 1 bounds
> car2LB(-13) car2UB(-11) /// CAR window 2 bounds
> car3LB(-14) car3UB(-12) /// CAR window 3 bounds
> car4LB(-15) car4UB(-13) /// CAR window 4 bounds
> car5LB(-16) car5UB(-14) /// CAR window 5 bounds
> car6LB(-17) car6UB(-15) /// CAR window 6 bounds
> car7LB(-18) car7UB(-16) /// CAR window 7 bounds
> car8LB(-19) car8UB(-17) /// CAR window 8 bounds
> car9LB(-20) car9UB(-18) /// CAR window 9 bounds
> archoption(1) garchoption(1) /// ARCH option GARCH option
> diagnosticsfile(Diag_Pre_MinGR_top8Xtile) /// output diagnostic 
> carfile(Car_Diag_Pre_MinGR_top8Xtile) /// output cumulative average abn
> ormal return file
> aarfile(AAR) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 8 events completed.
2 out of 8 events completed.
3 out of 8 events completed.
4 out of 8 events completed.
5 out of 8 events completed.
6 out of 8 events completed.
7 out of 8 events completed.
8 out of 8 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded

Warning: Some CAR window definitions (options carXLB and carXUB) have bee
> n changed because they were outside the event window.

Number of events in the event file: 8
-- thereof: Number of events for which security identifiers and event dat
> es are available: 8
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 8
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 8

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20         8   -.0196525                                            
> **       **        **       **        **       **  
    -19         8    .0029619                                            
>                                                    
    -18         8   -.0372171       **    **      ***          **        
>                     *                          **  
    -17         8   -.0097605                                            
>                                                    
    -16         8    .0053917                                            
>                                                    
    -15         8   -.0029692                                            
>                                                    
    -14         8   -.0101212                                            
>                                                    
    -13         8   -.0038506                                            
>                                                    
    -12         8    .0097845                                            
>                                                    
    -11         8     .004247                                            
>                                                    
    -10         8    .0008435                                            
>                                                    
     -9         8   -.0016919                                            
>                                                    
     -8         8   -.0042249                                            
>                                                    
     -7         8    .0036504                                            
>  *                                                 
     -6         8   -.0098186                                            
>                                                    
     -5         8   -.0061356                                            
>                                                    
     -4         8    .0054724                                            
>                                                    
     -3         8    .0135616                                            
>                                                    
     -2         8   -.0046371                                            
>                                                    
     -1         8    .0095405                                            
>                                                    
      0         8    .0061126                                            
>                                                    
      1         8   -.0051356                                            
>                                                    
      2         8    .0103404                       *                    
>                     *                              
      3         8    .0361737       **    **      ***         ***        
>  *        *        **        *        **       **  
      4         8    .0197097                       *           *        
>                                                    
      5         8    .0068366                                            
>                                                    
      6         8   -.0273347                                            
>                                                    
      7         8   -.0130954                                            
> **        *                 **        **       **  
      8         8   -.0019976                                            
>                                                    
      9         8    .0128665                       *                    
> **        *         *       **        **           
     10         8   -.0137189                                            
> **        *                  *        **       **  

            t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ  
>  Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   W
> ilcox  
    [-12;-10]         8     .014875                       *              
>       **       **                                                **    
>        
    [-13;-11]         8    .0101809                                      
>                                                                        
>        
    [-14;-12]         8   -.0041873                                      
>                                                                        
>        
    [-15;-13]         8    -.016941                                      
>                                                                 ***    
>        
    [-16;-14]         8   -.0076987                                      
>                                                                        
>        
    [-17;-15]         8    -.007338                                      
>                                                                        
>        
    [-18;-16]         8   -.0415859                      **           *  
>                                                                        
>        
    [-19;-17]         8   -.0440157                                      
>                                                                        
>     *  
    [-20;-18]         8   -.0539077        *     *       **          **  
>                                 *              *                  *    
>    **  
     [-20;10]         8   -.0238684                                      
>                                                                        
>        
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  AAR
Cumulative average abnormal returns:  Car_Diag_Pre_MinGR_top8Xtile
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Pre_MinGR_top8Xtile
Logfile:  Diag_Pre_MinGR_top8Xtile

. 
. use "List_high_ph_expo_ew", clear

. 
. eventstudy3 ISIN Date using Returns_high_ph_expo_ew, returns(Return_Una
> dj) /// 
> mod(FM) ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> evwlb(-20) evwub(10) ///
> eswlb(-121) eswub(-21) ///
> logreturns ///
> car1LB(-2) car1UB(0) ///
> car2LB(-3) car2UB(-1) ///
> car3LB(-4) car3UB(-2) ///
> car4LB(-5) car4UB(-3) ///
> car5LB(-6) car5UB(-4) ///
> car6LB(-7) car6UB(-5) ///
> car7LB(-8) car7UB(-6) ///
> car8LB(-9) car8UB(-7) ///
> car9LB(-10) car9UB(-8) ///
> car10LB(-11) car10UB(-9) ///
> archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_Neg_MinGR_top8Xtile) ///
> carfile(Car_Diag_Neg_MinGR_top8Xtile) ///
> aarfile(AAR_neg) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 8 events completed.
2 out of 8 events completed.
3 out of 8 events completed.
4 out of 8 events completed.
5 out of 8 events completed.
6 out of 8 events completed.
7 out of 8 events completed.
8 out of 8 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded


Number of events in the event file: 8
-- thereof: Number of events for which security identifiers and event dat
> es are available: 8
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 8
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 8

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20         8   -.0196525                                            
> **       **        **       **        **       **  
    -19         8    .0029619                                            
>                                                    
    -18         8   -.0372171       **    **      ***          **        
>                     *                          **  
    -17         8   -.0097605                                            
>                                                    
    -16         8    .0053917                                            
>                                                    
    -15         8   -.0029692                                            
>                                                    
    -14         8   -.0101212                                            
>                                                    
    -13         8   -.0038506                                            
>                                                    
    -12         8    .0097845                                            
>                                                    
    -11         8     .004247                                            
>                                                    
    -10         8    .0008435                                            
>                                                    
     -9         8   -.0016919                                            
>                                                    
     -8         8   -.0042249                                            
>                                                    
     -7         8    .0036504                                            
>  *                                                 
     -6         8   -.0098186                                            
>                                                    
     -5         8   -.0061356                                            
>                                                    
     -4         8    .0054724                                            
>                                                    
     -3         8    .0135616                                            
>                                                    
     -2         8   -.0046371                                            
>                                                    
     -1         8    .0095405                                            
>                                                    
      0         8    .0061126                                            
>                                                    
      1         8   -.0051356                                            
>                                                    
      2         8    .0103404                       *                    
>                     *                              
      3         8    .0361737       **    **      ***         ***        
>  *        *        **        *        **       **  
      4         8    .0197097                       *           *        
>                                                    
      5         8    .0068366                                            
>                                                    
      6         8   -.0273347                                            
>                                                    
      7         8   -.0130954                                            
> **        *                 **        **       **  
      8         8   -.0019976                                            
>                                                    
      9         8    .0128665                       *                    
> **        *         *       **        **           
     10         8   -.0137189                                            
> **        *                  *        **       **  

           t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ   
> Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   Wi
> lcox  
      [-2;0]         8     .011016                                       
>                                                                        
>       
     [-3;-1]         8     .018465                                       
>                                                                        
>       
     [-4;-2]         8    .0143969                                       
>                                                                        
>       
     [-5;-3]         8    .0128985                                       
>                                                                        
>       
     [-6;-4]         8   -.0104818                                       
>                                                                        
>       
     [-7;-5]         8   -.0123039                                       
>                                                                        
>       
     [-8;-6]         8   -.0103932                                       
>                                                                        
>       
     [-9;-7]         8   -.0022664                                       
>                                                                        
>       
    [-10;-8]         8   -.0050732                                       
>                                                                        
>       
    [-11;-9]         8    .0033986                                       
>                                                                        
>       
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  AAR_neg
Cumulative average abnormal returns:  Car_Diag_Neg_MinGR_top8Xtile
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Neg_MinGR_top8Xtile
Logfile:  Diag_Neg_MinGR_top8Xtile

. 
. use "List_high_ph_expo_ew", clear

. 
. eventstudy3 ISIN Date using Returns_high_ph_expo_ew, returns(Return_Una
> dj) /// 
> mod(FM) ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> evwlb(-20)  evwub(10) ///
> eswlb(-121) eswub(-21) ///
> logreturns ///
> car1LB(-1) car1UB(1) ///
> car2LB(0) car2UB(2) ///
> car3LB(1) car3UB(3) ///
> car4LB(2) car4UB(4) ///
> car5LB(3) car5UB(5) ///
> car6LB(4) car6UB(6) ///
> car7LB(5) car7UB(7) ///
> car8LB(6) car8UB(8) ///
> car9LB(7) car9UB(9) ///
> car10LB(8) car10UB(10) ///
> archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_Post_MinGR_top8Xtile) ///
> carfile(Car_Diag_Post_MinGR_top8Xtile) ///
> aarfile(AAR_post) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 8 events completed.
2 out of 8 events completed.
3 out of 8 events completed.
4 out of 8 events completed.
5 out of 8 events completed.
6 out of 8 events completed.
7 out of 8 events completed.
8 out of 8 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded


Number of events in the event file: 8
-- thereof: Number of events for which security identifiers and event dat
> es are available: 8
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 8
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 8

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20         8   -.0196525                                            
> **       **        **       **        **       **  
    -19         8    .0029619                                            
>                                                    
    -18         8   -.0372171       **    **      ***          **        
>                     *                          **  
    -17         8   -.0097605                                            
>                                                    
    -16         8    .0053917                                            
>                                                    
    -15         8   -.0029692                                            
>                                                    
    -14         8   -.0101212                                            
>                                                    
    -13         8   -.0038506                                            
>                                                    
    -12         8    .0097845                                            
>                                                    
    -11         8     .004247                                            
>                                                    
    -10         8    .0008435                                            
>                                                    
     -9         8   -.0016919                                            
>                                                    
     -8         8   -.0042249                                            
>                                                    
     -7         8    .0036504                                            
>  *                                                 
     -6         8   -.0098186                                            
>                                                    
     -5         8   -.0061356                                            
>                                                    
     -4         8    .0054724                                            
>                                                    
     -3         8    .0135616                                            
>                                                    
     -2         8   -.0046371                                            
>                                                    
     -1         8    .0095405                                            
>                                                    
      0         8    .0061126                                            
>                                                    
      1         8   -.0051356                                            
>                                                    
      2         8    .0103404                       *                    
>                     *                              
      3         8    .0361737       **    **      ***         ***        
>  *        *        **        *        **       **  
      4         8    .0197097                       *           *        
>                                                    
      5         8    .0068366                                            
>                                                    
      6         8   -.0273347                                            
>                                                    
      7         8   -.0130954                                            
> **        *                 **        **       **  
      8         8   -.0019976                                            
>                                                    
      9         8    .0128665                       *                    
> **        *         *       **        **           
     10         8   -.0137189                                            
> **        *                  *        **       **  

         t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ   Bo
> ehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   Wilc
> ox  
    [-1;1]         8    .0105175                                         
>                                                                *       
>     
     [0;2]         8    .0113174                       *                 
>                                                                *       
>     
     [1;3]         8    .0413785                     ***         ***     
>    **       **              **             **        **      ***       
>     
     [2;4]         8    .0662238       **    **      ***         ***     
>   ***      ***             ***            ***        **      ***      *
> **  
     [3;5]         8    .0627201        *    **      ***         ***     
>     *        *              **              *                 **       
>  *  
     [4;6]         8   -.0007884                                         
>                                                                        
>     
     [5;7]         8   -.0335936                                         
>                                             *                          
>  *  
     [6;8]         8   -.0424278                                         
>                                                                        
> **  
     [7;9]         8   -.0022265                                         
>                                                                        
>     
    [8;10]         8     -.00285                                         
>                                                                        
>     
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  AAR_post
Cumulative average abnormal returns:  Car_Diag_Post_MinGR_top8Xtile
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Post_MinGR_top8Xtile
Logfile:  Diag_Post_MinGR_top8Xtile

. 
. // Gather info for CAAR 
.  
. use "Car_Diag_Pre_MinGR_top8Xtile.dta", clear 

. 
. drop if _n==10
(1 observation deleted)

. mmerge t using "Car_Diag_Neg_MinGR_top8Xtile", type(1:1) missing(nomatc
> h) 

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_Pre_MinGR_top8Xtile.dta
                 obs |      9
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_Neg_MinGR_top8Xtile.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_Pre_MinGR_top8Xtile.dta
                 obs |     19
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |      9  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. mmerge t using "Car_Diag_Post_MinGR_top8Xtile", type(1:1) missing(nomat
> ch)

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_Pre_MinGR_top8Xtile.dta
                 obs |     19
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_Post_MinGR_top8Xtile.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_Pre_MinGR_top8Xtile.dta
                 obs |     29
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |     19  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. 
. gen tNum = ""
(29 missing values generated)

. replace tNum = usubstr(t, 1, ustrpos(t, ";") - 1)
variable tNum was str1 now str4
(29 real changes made)

. replace tNum = subinstr(tNum, "[", "",.) 
(29 real changes made)

. destring tNum, replace
tNum: all characters numeric; replaced as byte

. replace tNum = tNum+1
(29 real changes made)

. 
. order tNum, after(t)

. 
. replace CAARE = CAARE * 100
(29 real changes made)

. 
. // Corrado-Cowan CIs
. gen CILB = CAARE - 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. gen CIUB = CAARE + 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. 
. replace CILB = -10 if CILB<-10
(7 real changes made)

. replace CIUB = 20 if CIUB>20
(2 real changes made)

. 
. sort tNum

. twoway line CAARE tNum, lcolor(red) lwidth(medthick) ///
> yscale(range(-10(5)20)) ylabel(-10(5)20) ///
> xlabel(-20(2)10) ///
> graphregion(color(white)) ///
> xtitle("Trading day to/from Monday 14/12/2015") ytitle("CAAR (in %)") /
> //
> legend(off) ///
> xline(-10, lcolor(black)) xline(0, lcolor(black)) ///
> yline(0, lcolor(black)) ///
> text(18 -15 "Pre-negotiation") ///
> text(18 -6 "Negotiation") ///
> text(18 5 "Post-negotiation") ///
> || rcap CILB CIUB tNum, lcolor(blue) 

. 
. graph export "${result}FigD6.pdf", replace
(file /Users/myramohnen/Dropbox/EventStudy_Paris/JAERE/ConditionalAccept/
> RESULTS/FigD6.pdf written in PDF format)

. 
. /*=====================================================================
> =========*/
. /* Figures D7. Firms with low climate related risk measures based on me
> dian */
. /*=====================================================================
> =========*/
. 
. use "List_low_ph_expo_ew", clear

. 
. eventstudy3 ISIN Date using Returns_low_ph_expo_ew, returns(Return_Unad
> j) /// 
> mod(FM) /// Fama French model 
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) /// factors
> riskfreerate(RFNum) /// risk free 
> evwlb(-20) /// event window lower bound
> evwub(10) /// event window upper bound 
> eswlb(-121) /// estimation window lower bound 
> eswub(-21) /// estimation window upper bound 
> logreturns /// log returns
> car1LB(-12) car1UB(-10) /// CAR window 1 bounds
> car2LB(-13) car2UB(-11) /// CAR window 2 bounds
> car3LB(-14) car3UB(-12) /// CAR window 3 bounds
> car4LB(-15) car4UB(-13) /// CAR window 4 bounds
> car5LB(-16) car5UB(-14) /// CAR window 5 bounds
> car6LB(-17) car6UB(-15) /// CAR window 6 bounds
> car7LB(-18) car7UB(-16) /// CAR window 7 bounds
> car8LB(-19) car8UB(-17) /// CAR window 8 bounds
> car9LB(-20) car9UB(-18) /// CAR window 9 bounds
> archoption(1) garchoption(1) /// ARCH option GARCH option
> diagnosticsfile(Diag_Pre_MinGR_top8Xtile) /// output diagnostic 
> carfile(Car_Diag_Pre_MinGR_top8Xtile) /// output cumulative average abn
> ormal return file
> aarfile(AAR) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 32 events completed.
2 out of 32 events completed.
3 out of 32 events completed.
4 out of 32 events completed.
5 out of 32 events completed.
6 out of 32 events completed.
7 out of 32 events completed.
8 out of 32 events completed.
9 out of 32 events completed.
10 out of 32 events completed.
11 out of 32 events completed.
12 out of 32 events completed.
13 out of 32 events completed.
14 out of 32 events completed.
15 out of 32 events completed.
16 out of 32 events completed.
17 out of 32 events completed.
18 out of 32 events completed.
19 out of 32 events completed.
20 out of 32 events completed.
21 out of 32 events completed.
22 out of 32 events completed.
23 out of 32 events completed.
24 out of 32 events completed.
25 out of 32 events completed.
26 out of 32 events completed.
27 out of 32 events completed.
28 out of 32 events completed.
29 out of 32 events completed.
30 out of 32 events completed.
31 out of 32 events completed.
32 out of 32 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded

Warning: Some CAR window definitions (options carXLB and carXUB) have bee
> n changed because they were outside the event window.

Number of events in the event file: 32
-- thereof: Number of events for which security identifiers and event dat
> es are available: 32
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 32
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 32

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        32    .0087232                                            
>                                                    
    -19        32    .0034711                                            
>                                                    
    -18        32   -.0286318      ***   ***      ***         ***       *
> **       **       ***       **       ***      ***  
    -17        32    .0039842                                            
>                                                    
    -16        32   -.0053528                                            
>                                                    
    -15        32    .0025897                                            
>                                                    
    -14        32    -.004724                                            
>                                        *        *  
    -13        32   -.0015656                                            
>                                                    
    -12        32     .001933                                            
>                                                    
    -11        32     .007048                                            
> **        *                  *        **       **  
    -10        32    .0086361                                            
>                                                    
     -9        32    .0256311      ***   ***      ***         ***       *
> **       **        **       **        **      ***  
     -8        32    .0063899                                            
>                                                    
     -7        32    .0080215                                            
>                                                    
     -6        32   -.0130922        *             **           *        
> **        *         *        *         *       **  
     -5        32    .0021175                                            
>                                                    
     -4        32   -.0064842                                            
>                                                    
     -3        32    .0122509        *                                   
>                                                    
     -2        32   -.0056491                                            
>                                                    
     -1        32   -.0004563                                            
>                                                    
      0        32    .0218565      ***    **       **          **        
> **                                             **  
      1        32    .0120975        *              *                    
>                                                    
      2        32    .0353725      ***   ***      ***         ***       *
> **      ***       ***      ***       ***      ***  
      3        32    .0139394       **                                   
>                                                    
      4        32    .0080631                      **           *        
> **        *         *        *        **       **  
      5        32    .0062669                                            
>                                                    
      6        32   -.0160489       **     *       **                   *
> **       **        **       **         *      ***  
      7        32   -.0004051                                            
>                                        *           
      8        32   -.0018206                                            
>                                                    
      9        32    .0012692                                            
>                                                    
     10        32   -.0002048                                            
>                                                    

            t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ  
>  Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   W
> ilcox  
    [-12;-10]        32    .0176171                     ***          **  
>        *                        *              *                  *    
>    **  
    [-13;-11]        32    .0074155                                      
>                                 *              *                       
>     *  
    [-14;-12]        32   -.0043566                                      
>                                                                        
>        
    [-15;-13]        32   -.0036999                                      
>                                                                        
>        
    [-16;-14]        32   -.0074871                                      
>                                                                        
>        
    [-17;-15]        32    .0012211                       *              
>                                                                        
>        
    [-18;-16]        32   -.0300004       **     *      ***         ***  
>        *                                                         **    
>     *  
    [-19;-17]        32   -.0211765        *             **           *  
>                                                                        
>        
    [-20;-18]        32   -.0164375                                      
>                                                                        
>        
     [-20;10]        32     .105226       **    **      ***         ***  
>        *                        *              *       ***        *    
>    **  
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  AAR
Cumulative average abnormal returns:  Car_Diag_Pre_MinGR_top8Xtile
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Pre_MinGR_top8Xtile
Logfile:  Diag_Pre_MinGR_top8Xtile

. 
. use "List_low_ph_expo_ew", clear

. 
. eventstudy3 ISIN Date using Returns_low_ph_expo_ew, returns(Return_Unad
> j) /// 
> mod(FM) ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> evwlb(-20) evwub(10) ///
> eswlb(-121) eswub(-21) ///
> logreturns ///
> car1LB(-2) car1UB(0) ///
> car2LB(-3) car2UB(-1) ///
> car3LB(-4) car3UB(-2) ///
> car4LB(-5) car4UB(-3) ///
> car5LB(-6) car5UB(-4) ///
> car6LB(-7) car6UB(-5) ///
> car7LB(-8) car7UB(-6) ///
> car8LB(-9) car8UB(-7) ///
> car9LB(-10) car9UB(-8) ///
> car10LB(-11) car10UB(-9) ///
> archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_Neg_MinGR_top8Xtile) ///
> carfile(Car_Diag_Neg_MinGR_top8Xtile) ///
> aarfile(AAR_neg) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 32 events completed.
2 out of 32 events completed.
3 out of 32 events completed.
4 out of 32 events completed.
5 out of 32 events completed.
6 out of 32 events completed.
7 out of 32 events completed.
8 out of 32 events completed.
9 out of 32 events completed.
10 out of 32 events completed.
11 out of 32 events completed.
12 out of 32 events completed.
13 out of 32 events completed.
14 out of 32 events completed.
15 out of 32 events completed.
16 out of 32 events completed.
17 out of 32 events completed.
18 out of 32 events completed.
19 out of 32 events completed.
20 out of 32 events completed.
21 out of 32 events completed.
22 out of 32 events completed.
23 out of 32 events completed.
24 out of 32 events completed.
25 out of 32 events completed.
26 out of 32 events completed.
27 out of 32 events completed.
28 out of 32 events completed.
29 out of 32 events completed.
30 out of 32 events completed.
31 out of 32 events completed.
32 out of 32 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded


Number of events in the event file: 32
-- thereof: Number of events for which security identifiers and event dat
> es are available: 32
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 32
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 32

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        32    .0087232                                            
>                                                    
    -19        32    .0034711                                            
>                                                    
    -18        32   -.0286318      ***   ***      ***         ***       *
> **       **       ***       **       ***      ***  
    -17        32    .0039842                                            
>                                                    
    -16        32   -.0053528                                            
>                                                    
    -15        32    .0025897                                            
>                                                    
    -14        32    -.004724                                            
>                                        *        *  
    -13        32   -.0015656                                            
>                                                    
    -12        32     .001933                                            
>                                                    
    -11        32     .007048                                            
> **        *                  *        **       **  
    -10        32    .0086361                                            
>                                                    
     -9        32    .0256311      ***   ***      ***         ***       *
> **       **        **       **        **      ***  
     -8        32    .0063899                                            
>                                                    
     -7        32    .0080215                                            
>                                                    
     -6        32   -.0130922        *             **           *        
> **        *         *        *         *       **  
     -5        32    .0021175                                            
>                                                    
     -4        32   -.0064842                                            
>                                                    
     -3        32    .0122509        *                                   
>                                                    
     -2        32   -.0056491                                            
>                                                    
     -1        32   -.0004563                                            
>                                                    
      0        32    .0218565      ***    **       **          **        
> **                                             **  
      1        32    .0120975        *              *                    
>                                                    
      2        32    .0353725      ***   ***      ***         ***       *
> **      ***       ***      ***       ***      ***  
      3        32    .0139394       **                                   
>                                                    
      4        32    .0080631                      **           *        
> **        *         *        *        **       **  
      5        32    .0062669                                            
>                                                    
      6        32   -.0160489       **     *       **                   *
> **       **        **       **         *      ***  
      7        32   -.0004051                                            
>                                        *           
      8        32   -.0018206                                            
>                                                    
      9        32    .0012692                                            
>                                                    
     10        32   -.0002048                                            
>                                                    

           t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ   
> Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   Wi
> lcox  
      [-2;0]        32    .0157511                                       
>                                                                        
>       
     [-3;-1]        32    .0061455                                       
>                                                                        
>       
     [-4;-2]        32    .0001176                                       
>                                                                        
>       
     [-5;-3]        32    .0078842                                       
>                                                                        
>       
     [-6;-4]        32   -.0174589                      **               
>                                                                        
>       
     [-7;-5]        32   -.0029532                                       
>                                                                        
>       
     [-8;-6]        32    .0013192                                       
>                                                                        
>       
     [-9;-7]        32    .0400425      ***   ***      ***         ***   
>      **        *              **             **                 **     
>  ***  
    [-10;-8]        32    .0406571      ***   ***      ***         ***   
>     ***       **              **             **        **      ***     
>  ***  
    [-11;-9]        32    .0413152      ***   ***      ***         ***   
>     ***      ***             ***            ***       ***      ***     
>  ***  
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  AAR_neg
Cumulative average abnormal returns:  Car_Diag_Neg_MinGR_top8Xtile
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Neg_MinGR_top8Xtile
Logfile:  Diag_Neg_MinGR_top8Xtile

. 
. use "List_low_ph_expo_ew", clear

. 
. eventstudy3 ISIN Date using Returns_low_ph_expo_ew, returns(Return_Unad
> j) /// 
> mod(FM) ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> evwlb(-20)  evwub(10) ///
> eswlb(-121) eswub(-21) ///
> logreturns ///
> car1LB(-1) car1UB(1) ///
> car2LB(0) car2UB(2) ///
> car3LB(1) car3UB(3) ///
> car4LB(2) car4UB(4) ///
> car5LB(3) car5UB(5) ///
> car6LB(4) car6UB(6) ///
> car7LB(5) car7UB(7) ///
> car8LB(6) car8UB(8) ///
> car9LB(7) car9UB(9) ///
> car10LB(8) car10UB(10) ///
> archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_Post_MinGR_top8Xtile) ///
> carfile(Car_Diag_Post_MinGR_top8Xtile) ///
> aarfile(AAR_post) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 32 events completed.
2 out of 32 events completed.
3 out of 32 events completed.
4 out of 32 events completed.
5 out of 32 events completed.
6 out of 32 events completed.
7 out of 32 events completed.
8 out of 32 events completed.
9 out of 32 events completed.
10 out of 32 events completed.
11 out of 32 events completed.
12 out of 32 events completed.
13 out of 32 events completed.
14 out of 32 events completed.
15 out of 32 events completed.
16 out of 32 events completed.
17 out of 32 events completed.
18 out of 32 events completed.
19 out of 32 events completed.
20 out of 32 events completed.
21 out of 32 events completed.
22 out of 32 events completed.
23 out of 32 events completed.
24 out of 32 events completed.
25 out of 32 events completed.
26 out of 32 events completed.
27 out of 32 events completed.
28 out of 32 events completed.
29 out of 32 events completed.
30 out of 32 events completed.
31 out of 32 events completed.
32 out of 32 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded


Number of events in the event file: 32
-- thereof: Number of events for which security identifiers and event dat
> es are available: 32
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 32
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 32

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        32    .0087232                                            
>                                                    
    -19        32    .0034711                                            
>                                                    
    -18        32   -.0286318      ***   ***      ***         ***       *
> **       **       ***       **       ***      ***  
    -17        32    .0039842                                            
>                                                    
    -16        32   -.0053528                                            
>                                                    
    -15        32    .0025897                                            
>                                                    
    -14        32    -.004724                                            
>                                        *        *  
    -13        32   -.0015656                                            
>                                                    
    -12        32     .001933                                            
>                                                    
    -11        32     .007048                                            
> **        *                  *        **       **  
    -10        32    .0086361                                            
>                                                    
     -9        32    .0256311      ***   ***      ***         ***       *
> **       **        **       **        **      ***  
     -8        32    .0063899                                            
>                                                    
     -7        32    .0080215                                            
>                                                    
     -6        32   -.0130922        *             **           *        
> **        *         *        *         *       **  
     -5        32    .0021175                                            
>                                                    
     -4        32   -.0064842                                            
>                                                    
     -3        32    .0122509        *                                   
>                                                    
     -2        32   -.0056491                                            
>                                                    
     -1        32   -.0004563                                            
>                                                    
      0        32    .0218565      ***    **       **          **        
> **                                             **  
      1        32    .0120975        *              *                    
>                                                    
      2        32    .0353725      ***   ***      ***         ***       *
> **      ***       ***      ***       ***      ***  
      3        32    .0139394       **                                   
>                                                    
      4        32    .0080631                      **           *        
> **        *         *        *        **       **  
      5        32    .0062669                                            
>                                                    
      6        32   -.0160489       **     *       **                   *
> **       **        **       **         *      ***  
      7        32   -.0004051                                            
>                                        *           
      8        32   -.0018206                                            
>                                                    
      9        32    .0012692                                            
>                                                    
     10        32   -.0002048                                            
>                                                    

         t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ   Bo
> ehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   Wilc
> ox  
    [-1;1]        32    .0334977      ***    **       **           *     
>                                                       *        *       
> **  
     [0;2]        32    .0693265      ***   ***      ***         ***     
>   ***      ***             ***            ***       ***      ***      *
> **  
     [1;3]        32    .0614094      ***   ***      ***         ***     
>   ***      ***             ***             **       ***      ***      *
> **  
     [2;4]        32     .057375      ***   ***      ***         ***     
>   ***      ***             ***            ***       ***      ***      *
> **  
     [3;5]        32    .0282694       **     *      ***         ***     
>   ***       **              **             **                 **       
> **  
     [4;6]        32   -.0017189                                         
>                                                               **       
>     
     [5;7]        32   -.0101871                                         
>                                                                        
>  *  
     [6;8]        32   -.0182746                      **           *     
>   ***       **                              *         *       **       
> **  
     [7;9]        32   -.0009565                                         
>                                                                        
>     
    [8;10]        32   -.0007562                                         
>                                                                        
>     
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  AAR_post
Cumulative average abnormal returns:  Car_Diag_Post_MinGR_top8Xtile
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Post_MinGR_top8Xtile
Logfile:  Diag_Post_MinGR_top8Xtile

. 
. // Gather info for CAAR 
.  
. use "Car_Diag_Pre_MinGR_top8Xtile.dta", clear 

. drop if _n==10
(1 observation deleted)

. mmerge t using "Car_Diag_Neg_MinGR_top8Xtile", type(1:1) missing(nomatc
> h) 

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_Pre_MinGR_top8Xtile.dta
                 obs |      9
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_Neg_MinGR_top8Xtile.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_Pre_MinGR_top8Xtile.dta
                 obs |     19
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |      9  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. mmerge t using "Car_Diag_Post_MinGR_top8Xtile", type(1:1) missing(nomat
> ch)

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_Pre_MinGR_top8Xtile.dta
                 obs |     19
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_Post_MinGR_top8Xtile.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_Pre_MinGR_top8Xtile.dta
                 obs |     29
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |     19  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. 
. gen tNum = ""
(29 missing values generated)

. replace tNum = usubstr(t, 1, ustrpos(t, ";") - 1)
variable tNum was str1 now str4
(29 real changes made)

. replace tNum = subinstr(tNum, "[", "",.) 
(29 real changes made)

. destring tNum, replace
tNum: all characters numeric; replaced as byte

. replace tNum = tNum+1
(29 real changes made)

. 
. order tNum, after(t)

. 
. replace CAARE = CAARE * 100
(29 real changes made)

. 
. // Corrado-Cowan CIs
. gen CILB = CAARE - 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. gen CIUB = CAARE + 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. 
. replace CILB = -10 if CILB<-10
(3 real changes made)

. replace CIUB = 20 if CIUB>20
(1 real change made)

. 
. sort tNum

. twoway line CAARE tNum, lcolor(red) lwidth(medthick) ///
> yscale(range(-10(5)20)) ylabel(-10(5)20) ///
> xlabel(-20(2)10) ///
> graphregion(color(white)) ///
> xtitle("Trading day to/from Monday 14/12/2015") ytitle("CAAR (in %)") /
> //
> legend(off) ///
> xline(-10, lcolor(black)) xline(0, lcolor(black)) ///
> yline(0, lcolor(black)) ///
> text(18 -15 "Pre-negotiation") ///
> text(18 -6 "Negotiation") ///
> text(18 5 "Post-negotiation") ///
> || rcap CILB CIUB tNum, lcolor(blue) 

. 
. graph export "${result}FigD7.pdf", replace
(file /Users/myramohnen/Dropbox/EventStudy_Paris/JAERE/ConditionalAccept/
> RESULTS/FigD7.pdf written in PDF format)

. 
. /*=====================================================================
> =========*/
. /* Table D2. */
. /*=====================================================================
> =========*/
. 
. use "List_high_op_expo_ew", clear

. 
. eventstudy3 ISIN Date using Returns_high_op_expo_ew, returns(Return_Una
> dj) /// 
> car1LB(-20) car1UB(-16) ///
> car2LB(-15) car2UB(-11) ///
> car3LB(-10) car3UB(-6) ///
> car4LB(-5) car4UB(-1) ///
> car5LB(0) car5UB(5) ///
> car6LB(6) car6UB(10) ///
> evwlb(-20)  evwub(10) eswlb(-121) eswub(-21) ///
> mod(FM) ///
> logreturns ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_CAR05_MinGR_eq1)  ///
> crossfile(Cross04_high_op_expo_ew) ///
> carfile(Car_Diag_CAR05_MinGR_eq1) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 20 events completed.
2 out of 20 events completed.
3 out of 20 events completed.
4 out of 20 events completed.
5 out of 20 events completed.
6 out of 20 events completed.
7 out of 20 events completed.
8 out of 20 events completed.
9 out of 20 events completed.
10 out of 20 events completed.
11 out of 20 events completed.
12 out of 20 events completed.
13 out of 20 events completed.
14 out of 20 events completed.
15 out of 20 events completed.
16 out of 20 events completed.
17 out of 20 events completed.
18 out of 20 events completed.
19 out of 20 events completed.
20 out of 20 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded

Warning: Some CAR window definitions (options carXLB and carXUB) have bee
> n changed because they were outside the event window.

Number of events in the event file: 20
-- thereof: Number of events for which security identifiers and event dat
> es are available: 20
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 20
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 20

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        20    .0074313                                            
>                                                    
    -19        20    .0115104                                            
>                                                    
    -18        20    -.033699      ***    **      ***          **        
> **                 **        *         *       **  
    -17        20   -.0047873                                            
>                                                    
    -16        20   -.0113091                                            
>                                                    
    -15        20   -.0004857                                            
>                                                    
    -14        20   -.0052082                                            
>                                                    
    -13        20    .0011605                                            
>                                                    
    -12        20   -.0022926                                            
>                                                    
    -11        20    .0028682                                            
>                                                    
    -10        20    .0168611        *             **                    
>  *                                    **        *  
     -9        20    .0314517      ***    **      ***          **        
> **                                              *  
     -8        20    .0164021        *              *                    
>                                                    
     -7        20     .023315       **     *      ***          **       *
> **      ***        **      ***       ***      ***  
     -6        20    -.012815                       *                   *
> **       **         *       **        **      ***  
     -5        20    .0054039                                            
>                                                    
     -4        20    .0021077                                            
>                                                    
     -3        20    .0216924       **             **                    
>                                        *        *  
     -2        20   -.0011488                                            
>                                                    
     -1        20    .0072616                                            
>                                                    
      0        20    .0391824      ***   ***      ***         ***       *
> **       **        **       **       ***      ***  
      1        20    .0119824                      **                    
>  *                                    **           
      2        20    .0544767      ***   ***      ***         ***       *
> **       **       ***       **       ***      ***  
      3        20    .0133029                      **                   *
> **        *                  *        **        *  
      4        20    .0170729        *             **           *       *
> **        *                  *        **       **  
      5        20     .011688                                            
>                                                    
      6        20   -.0246954       **     *       **           *       *
> **       **        **       **       ***      ***  
      7        20   -.0048237                                            
>                                       **           
      8        20    .0037581                                            
>                                                    
      9        20    -.003823                                            
>                                                    
     10        20   -.0007833                                            
>                                                    

            t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ  
>  Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   W
> ilcox  
    [-20;-16]        20   -.0308537                                      
>                                                                        
>        
    [-15;-11]        20   -.0039577                                      
>                                                                        
>        
     [-10;-6]        20     .075215      ***    **      ***         ***  
>      ***      ***               *                       **      ***    
>    **  
      [-5;-1]        20    .0353168                                      
>                                                                        
>     *  
        [0;5]        20    .1477053      ***   ***      ***         ***  
>      ***      ***             ***            ***       ***      ***    
>   ***  
       [6;10]        20   -.0303673                     ***           *  
>       **                                                 *        *    
>    **  
     [-20;10]        20    .1930583      ***    **      ***         ***  
>       **                        *              *       ***       **    
>   ***  
     [-20;10]        20    .1930583      ***    **      ***         ***  
>       **                        *              *       ***       **    
>   ***  
     [-20;10]        20    .1930583      ***    **      ***         ***  
>       **                        *              *       ***       **    
>   ***  
     [-20;10]        20    .1930583      ***    **      ***         ***  
>       **                        *              *       ***       **    
>   ***  
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  aarfile
Cumulative average abnormal returns:  Car_Diag_CAR05_MinGR_eq1
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  Cross04_high_o
> p_expo_ew
Diagnostic of events that are excluded:  Diag_CAR05_MinGR_eq1
Logfile:  Diag_CAR05_MinGR_eq1

. 
. use "List_low_op_expo_ew", clear

. 
. eventstudy3 ISIN Date using Returns_low_op_expo_ew, returns(Return_Unad
> j) /// 
> car1LB(-20) car1UB(-16) ///
> car2LB(-15) car2UB(-11) ///
> car3LB(-10) car3UB(-6) ///
> car4LB(-5) car4UB(-1) ///
> car5LB(0) car5UB(5) ///
> car6LB(6) car6UB(10) ///
> evwlb(-20)  evwub(10) eswlb(-121) eswub(-21) ///
> mod(FM) ///
> logreturns ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_CAR05_MinGR_eq1)  ///
> crossfile(Cross04_low_op_expo_ew) ///
> carfile(Car_Diag_CAR05_MinGR_eq1) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 20 events completed.
2 out of 20 events completed.
3 out of 20 events completed.
4 out of 20 events completed.
5 out of 20 events completed.
6 out of 20 events completed.
7 out of 20 events completed.
8 out of 20 events completed.
9 out of 20 events completed.
10 out of 20 events completed.
11 out of 20 events completed.
12 out of 20 events completed.
13 out of 20 events completed.
14 out of 20 events completed.
15 out of 20 events completed.
16 out of 20 events completed.
17 out of 20 events completed.
18 out of 20 events completed.
19 out of 20 events completed.
20 out of 20 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded

Warning: Some CAR window definitions (options carXLB and carXUB) have bee
> n changed because they were outside the event window.

Number of events in the event file: 20
-- thereof: Number of events for which security identifiers and event dat
> es are available: 20
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 20
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 20

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        20   -.0013352                                            
>                                                    
    -19        20   -.0047718                                            
>                                                    
    -18        20   -.0269987      ***   ***      ***         ***       *
> **       **        **       **       ***      ***  
    -17        20    .0072578                                            
>                                                    
    -16        20    .0049013                                            
>                                                    
    -15        20    .0034416                                            
>  *                           *         *        *  
    -14        20   -.0063988                                            
>                                                    
    -13        20   -.0052057                                            
>                                                    
    -12        20    .0092992                       *                    
>  *                                                 
    -11        20    .0101074                                            
> **        *         *        *       ***       **  
    -10        20    -.002706                                            
>                                                    
     -9        20    .0088813                                            
>                              *         *       **  
     -8        20   -.0078682                                            
>                                                    
     -7        20   -.0090205                      **                    
>  *                                     *        *  
     -6        20   -.0120599                                            
>                                                    
     -5        20   -.0044701                                            
>                                                    
     -4        20   -.0102935                                            
>                                                    
     -3        20    .0033337                                            
>                                                    
     -2        20   -.0097446                                            
>  *                                                 
     -1        20   -.0041755                                            
>                                                    
      0        20   -.0017671                                            
>                                                    
      1        20    .0053194                                            
>                                                    
      2        20    .0062555                      **           *        
> **        *        **        *                     
      3        20    .0234696      ***    **                             
>                                                    
      4        20     .003712                       *                    
>                                                    
      5        20    .0010737                                            
>                                                    
      6        20   -.0119167                                            
>                                                    
      7        20   -.0010626                                            
>                                                    
      8        20   -.0074701                                            
>                                                    
      9        20    .0110004                      **          **       *
> **       **        **       **       ***       **  
     10        20   -.0050319                                            
>                                                    

            t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ  
>  Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   W
> ilcox  
    [-20;-16]        20   -.0209467                                      
>                                                                        
>        
    [-15;-11]        20    .0112437                      **           *  
>       **                                                               
>        
     [-10;-6]        20   -.0227733                                      
>                                                          *        *    
>        
      [-5;-1]        20   -.0253499                                      
>                                                                        
>        
        [0;5]        20    .0380631        *            ***          **  
>       **        *                                                **    
>        
       [6;10]        20   -.0144809                                      
>                                                                        
>        
     [-20;10]        20    -.034244                                      
>                                                                        
>        
     [-20;10]        20    -.034244                                      
>                                                                        
>        
     [-20;10]        20    -.034244                                      
>                                                                        
>        
     [-20;10]        20    -.034244                                      
>                                                                        
>        
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  aarfile
Cumulative average abnormal returns:  Car_Diag_CAR05_MinGR_eq1
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  Cross04_low_op
> _expo_ew
Diagnostic of events that are excluded:  Diag_CAR05_MinGR_eq1
Logfile:  Diag_CAR05_MinGR_eq1

. 
. 
. use Cross04_high_op_expo_ew, clear

. keep CAR5 

. gen high = 1

. append using Cross04_low_op_expo_ew
(label __MERGE already defined)

. replace high = 0 if high==.
(20 real changes made)

. keep CAR5 high

. 
. ttest CAR5, by(high)

Two-sample t test with equal variances
-------------------------------------------------------------------------
> -----
   Group |     Obs        Mean    Std. Err.   Std. Dev.   [95% Conf. Inte
> rval]
---------+---------------------------------------------------------------
> -----
       0 |      20    .0380631    .0149869    .0670235    .0066951     .0
> 69431
       1 |      20    .1477053    .0368567    .1648283    .0705633    .22
> 48473
---------+---------------------------------------------------------------
> -----
combined |      40    .0928842    .0215097    .1360396    .0493766    .13
> 63917
---------+---------------------------------------------------------------
> -----
    diff |           -.1096423    .0397873               -.1901873   -.02
> 90972
-------------------------------------------------------------------------
> -----
    diff = mean(0) - mean(1)                                      t =  -2
> .7557
Ho: diff = 0                                     degrees of freedom =    
>    38

    Ha: diff < 0                 Ha: diff != 0                 Ha: diff >
>  0
 Pr(T < t) = 0.0045         Pr(|T| > |t|) = 0.0089          Pr(T > t) = 0
> .9955

. 
. 
. use "List_high_ph_expo_ew", clear

. 
. eventstudy3 ISIN Date using Returns_high_ph_expo_ew, returns(Return_Una
> dj) /// 
> car1LB(-20) car1UB(-16) ///
> car2LB(-15) car2UB(-11) ///
> car3LB(-10) car3UB(-6) ///
> car4LB(-5) car4UB(-1) ///
> car5LB(0) car5UB(5) ///
> car6LB(6) car6UB(10) ///
> evwlb(-20)  evwub(10) eswlb(-121) eswub(-21) ///
> mod(FM) ///
> logreturns ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_CAR05_MinGR_eq1)  ///
> crossfile(Cross04_high_ph_expo_ew) ///
> carfile(Car_Diag_CAR05_MinGR_eq1) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 8 events completed.
2 out of 8 events completed.
3 out of 8 events completed.
4 out of 8 events completed.
5 out of 8 events completed.
6 out of 8 events completed.
7 out of 8 events completed.
8 out of 8 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded

Warning: Some CAR window definitions (options carXLB and carXUB) have bee
> n changed because they were outside the event window.

Number of events in the event file: 8
-- thereof: Number of events for which security identifiers and event dat
> es are available: 8
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 8
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 8

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20         8   -.0196525                                            
> **       **        **       **        **       **  
    -19         8    .0029619                                            
>                                                    
    -18         8   -.0372171       **    **      ***          **        
>                     *                          **  
    -17         8   -.0097605                                            
>                                                    
    -16         8    .0053917                                            
>                                                    
    -15         8   -.0029692                                            
>                                                    
    -14         8   -.0101212                                            
>                                                    
    -13         8   -.0038506                                            
>                                                    
    -12         8    .0097845                                            
>                                                    
    -11         8     .004247                                            
>                                                    
    -10         8    .0008435                                            
>                                                    
     -9         8   -.0016919                                            
>                                                    
     -8         8   -.0042249                                            
>                                                    
     -7         8    .0036504                                            
>  *                                                 
     -6         8   -.0098186                                            
>                                                    
     -5         8   -.0061356                                            
>                                                    
     -4         8    .0054724                                            
>                                                    
     -3         8    .0135616                                            
>                                                    
     -2         8   -.0046371                                            
>                                                    
     -1         8    .0095405                                            
>                                                    
      0         8    .0061126                                            
>                                                    
      1         8   -.0051356                                            
>                                                    
      2         8    .0103404                       *                    
>                     *                              
      3         8    .0361737       **    **      ***         ***        
>  *        *        **        *        **       **  
      4         8    .0197097                       *           *        
>                                                    
      5         8    .0068366                                            
>                                                    
      6         8   -.0273347                                            
>                                                    
      7         8   -.0130954                                            
> **        *                 **        **       **  
      8         8   -.0019976                                            
>                                                    
      9         8    .0128665                       *                    
> **        *         *       **        **           
     10         8   -.0137189                                            
> **        *                  *        **       **  

            t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ  
>  Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   W
> ilcox  
    [-20;-16]         8   -.0582765                      **           *  
>                                                                        
>     *  
    [-15;-11]         8   -.0029096                                      
>                                                                        
>        
     [-10;-6]         8   -.0112415                                      
>                                                                        
>        
      [-5;-1]         8    .0178019                                      
>                                                                        
>        
        [0;5]         8    .0740374              *      ***         ***  
>      ***       **              **             **        **      ***    
>     *  
       [6;10]         8   -.0432801                                      
>                                                                        
>        
     [-20;10]         8   -.0238684                                      
>                                                                        
>        
     [-20;10]         8   -.0238684                                      
>                                                                        
>        
     [-20;10]         8   -.0238684                                      
>                                                                        
>        
     [-20;10]         8   -.0238684                                      
>                                                                        
>        
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  aarfile
Cumulative average abnormal returns:  Car_Diag_CAR05_MinGR_eq1
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  Cross04_high_p
> h_expo_ew
Diagnostic of events that are excluded:  Diag_CAR05_MinGR_eq1
Logfile:  Diag_CAR05_MinGR_eq1

. 
. use "List_low_ph_expo_ew", clear

. 
. eventstudy3 ISIN Date using Returns_low_ph_expo_ew, returns(Return_Unad
> j) /// 
> car1LB(-20) car1UB(-16) ///
> car2LB(-15) car2UB(-11) ///
> car3LB(-10) car3UB(-6) ///
> car4LB(-5) car4UB(-1) ///
> car5LB(0) car5UB(5) ///
> car6LB(6) car6UB(10) ///
> evwlb(-20)  evwub(10) eswlb(-121) eswub(-21) ///
> mod(FM) ///
> logreturns ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_CAR05_MinGR_eq1)  ///
> crossfile(Cross04_low_ph_expo_ew) ///
> carfile(Car_Diag_CAR05_MinGR_eq1) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 32 events completed.
2 out of 32 events completed.
3 out of 32 events completed.
4 out of 32 events completed.
5 out of 32 events completed.
6 out of 32 events completed.
7 out of 32 events completed.
8 out of 32 events completed.
9 out of 32 events completed.
10 out of 32 events completed.
11 out of 32 events completed.
12 out of 32 events completed.
13 out of 32 events completed.
14 out of 32 events completed.
15 out of 32 events completed.
16 out of 32 events completed.
17 out of 32 events completed.
18 out of 32 events completed.
19 out of 32 events completed.
20 out of 32 events completed.
21 out of 32 events completed.
22 out of 32 events completed.
23 out of 32 events completed.
24 out of 32 events completed.
25 out of 32 events completed.
26 out of 32 events completed.
27 out of 32 events completed.
28 out of 32 events completed.
29 out of 32 events completed.
30 out of 32 events completed.
31 out of 32 events completed.
32 out of 32 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded

Warning: Some CAR window definitions (options carXLB and carXUB) have bee
> n changed because they were outside the event window.

Number of events in the event file: 32
-- thereof: Number of events for which security identifiers and event dat
> es are available: 32
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 32
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 32

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        32    .0087232                                            
>                                                    
    -19        32    .0034711                                            
>                                                    
    -18        32   -.0286318      ***   ***      ***         ***       *
> **       **       ***       **       ***      ***  
    -17        32    .0039842                                            
>                                                    
    -16        32   -.0053528                                            
>                                                    
    -15        32    .0025897                                            
>                                                    
    -14        32    -.004724                                            
>                                        *        *  
    -13        32   -.0015656                                            
>                                                    
    -12        32     .001933                                            
>                                                    
    -11        32     .007048                                            
> **        *                  *        **       **  
    -10        32    .0086361                                            
>                                                    
     -9        32    .0256311      ***   ***      ***         ***       *
> **       **        **       **        **      ***  
     -8        32    .0063899                                            
>                                                    
     -7        32    .0080215                                            
>                                                    
     -6        32   -.0130922        *             **           *        
> **        *         *        *         *       **  
     -5        32    .0021175                                            
>                                                    
     -4        32   -.0064842                                            
>                                                    
     -3        32    .0122509        *                                   
>                                                    
     -2        32   -.0056491                                            
>                                                    
     -1        32   -.0004563                                            
>                                                    
      0        32    .0218565      ***    **       **          **        
> **                                             **  
      1        32    .0120975        *              *                    
>                                                    
      2        32    .0353725      ***   ***      ***         ***       *
> **      ***       ***      ***       ***      ***  
      3        32    .0139394       **                                   
>                                                    
      4        32    .0080631                      **           *        
> **        *         *        *        **       **  
      5        32    .0062669                                            
>                                                    
      6        32   -.0160489       **     *       **                   *
> **       **        **       **         *      ***  
      7        32   -.0004051                                            
>                                        *           
      8        32   -.0018206                                            
>                                                    
      9        32    .0012692                                            
>                                                    
     10        32   -.0002048                                            
>                                                    

            t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ  
>  Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   W
> ilcox  
    [-20;-16]        32   -.0178061                                      
>                                                                        
>        
    [-15;-11]        32    .0052811                                      
>                                                          *       **    
>        
     [-10;-6]        32    .0355864       **     *      ***         ***  
>       **        *                                                 *    
>        
      [-5;-1]        32    .0017788                                      
>                                                                        
>        
        [0;5]        32    .0975959      ***   ***      ***         ***  
>      ***      ***             ***            ***       ***      ***    
>   ***  
       [6;10]        32   -.0172102                                      
>                                                                        
>    **  
     [-20;10]        32     .105226       **    **      ***         ***  
>        *                        *              *       ***        *    
>    **  
     [-20;10]        32     .105226       **    **      ***         ***  
>        *                        *              *       ***        *    
>    **  
     [-20;10]        32     .105226       **    **      ***         ***  
>        *                        *              *       ***        *    
>    **  
     [-20;10]        32     .105226       **    **      ***         ***  
>        *                        *              *       ***        *    
>    **  
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  aarfile
Cumulative average abnormal returns:  Car_Diag_CAR05_MinGR_eq1
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  Cross04_low_ph
> _expo_ew
Diagnostic of events that are excluded:  Diag_CAR05_MinGR_eq1
Logfile:  Diag_CAR05_MinGR_eq1

. 
. use Cross04_high_ph_expo_ew, clear

. keep CAR5 

. gen high = 1

. append using Cross04_low_ph_expo_ew
(label __MERGE already defined)

. replace high = 0 if high==.
(32 real changes made)

. keep CAR5 high

. 
. ttest CAR5, by(high)

Two-sample t test with equal variances
-------------------------------------------------------------------------
> -----
   Group |     Obs        Mean    Std. Err.   Std. Dev.   [95% Conf. Inte
> rval]
---------+---------------------------------------------------------------
> -----
       0 |      32    .0975959    .0262103     .148268    .0441396    .15
> 10522
       1 |       8    .0740374    .0256092    .0724338    .0134813    .13
> 45936
---------+---------------------------------------------------------------
> -----
combined |      40    .0928842    .0215097    .1360396    .0493766    .13
> 63917
---------+---------------------------------------------------------------
> -----
    diff |            .0235584    .0543431               -.0864534    .13
> 35703
-------------------------------------------------------------------------
> -----
    diff = mean(0) - mean(1)                                      t =   0
> .4335
Ho: diff = 0                                     degrees of freedom =    
>    38

    Ha: diff < 0                 Ha: diff != 0                 Ha: diff >
>  0
 Pr(T < t) = 0.6665         Pr(|T| > |t|) = 0.6671          Pr(T > t) = 0
> .3335

. 
. /*=====================================================================
> =========*/
. /* Figure D8. Abnormal returns for most emission intensive firms in Ele
> ctric SeGrvice sector */
. /*=====================================================================
> =========*/
. 
. use "List_Trucost_US_top10pcCISc1_491.dta", clear

. 
. eventstudy3 ISIN Date using Returns_Trucost_US_top10pcCISc1_491, return
> s(Return_Unadj) /// 
> car1LB(-1) car1UB(1) car2LB(0) car2UB(2) car3LB(1) car3UB(3) car4LB(2) 
> car4UB(4) car5LB(3) car5UB(5) ///
> car6LB(4) car6UB(6) car7LB(5) car7UB(7) car8LB(6) car8UB(8) car9LB(7) c
> ar9UB(9) car10LB(8) car10UB(10) ///
> evwlb(-20)  evwub(10) eswlb(-121) eswub(-21) mod(FM) logreturns ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> garch archoption(1) garchoption(1)  ///
> diagnosticsfile(Diag_post) carfile(Car_Diag_post) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 23 events completed.
2 out of 23 events completed.
3 out of 23 events completed.
4 out of 23 events completed.
5 out of 23 events completed.
6 out of 23 events completed.
7 out of 23 events completed.
8 out of 23 events completed.
9 out of 23 events completed.
10 out of 23 events completed.
11 out of 23 events completed.
12 out of 23 events completed.
13 out of 23 events completed.
14 out of 23 events completed.
15 out of 23 events completed.
16 out of 23 events completed.
17 out of 23 events completed.
18 out of 23 events completed.
19 out of 23 events completed.
20 out of 23 events completed.
21 out of 23 events completed.
22 out of 23 events completed.
23 out of 23 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded


Number of events in the event file: 23
-- thereof: Number of events for which security identifiers and event dat
> es are available: 23
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 23
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 23

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        23    .0040735                                            
>                                                 *  
    -19        23    .0073358       **            ***                   *
> **                                   ***      ***  
    -18        23   -.0233751      ***    **      ***           *       *
> **                 **        *       ***      ***  
    -17        23   -.0003429                                            
>                                                    
    -16        23    .0083227      ***            ***                   *
> **                                   ***      ***  
    -15        23     .005653        *             **                   *
> **                                   ***      ***  
    -14        23   -.0022652                                            
>                                       **        *  
    -13        23    .0029739                                            
>                                                    
    -12        23   -.0049925                                           *
> **                                   ***      ***  
    -11        23    .0009229                                            
>  *                                   ***       **  
    -10        23    .0112182      ***            ***                   *
> **                                   ***      ***  
     -9        23   -.0015921                                            
>                                                    
     -8        23   -.0198724      ***    **      ***                   *
> **                  *                ***      ***  
     -7        23   -.0020863                                            
> **                                     *        *  
     -6        23   -.0076012       **                                   
>                                       **           
     -5        23    .0073539       **             **                    
> **                                    **       **  
     -4        23    .0060093        *              *                    
> **                                    **       **  
     -3        23    .0061881       **                                   
>  *                                              *  
     -2        23    -.015636      ***     *      ***                   *
> **                                   ***      ***  
     -1        23     .005768        *             **                   *
> **                                   ***      ***  
      0        23   -.0098712      ***            ***                   *
> **                                   ***      ***  
      1        23     .007404       **            ***                   *
> **                                    **      ***  
      2        23    .0150126      ***     *      ***                   *
> **                  *        *       ***      ***  
      3        23    .0084651      ***            ***                   *
> **                                   ***      ***  
      4        23    .0063489       **                                   
>                                                    
      5        23    .0013248                                            
>                                        *           
      6        23    .0033001                       *                   *
> **                                   ***       **  
      7        23    .0118487      ***            ***                   *
> **                           *       ***      ***  
      8        23    .0020365                                            
> **                                     *       **  
      9        23    .0029623                                            
> **                                             **  
     10        23    .0015497                                            
>                                        *           

         t   NoFirms       CAAR   t_test   CDA   Patell   PatellADJ   Boe
> hmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   Wilco
> x  
    [-1;1]        23   .0033008                      **                  
>   **                                                 *                 
>    
     [0;2]        23   .0125453       **             **                  
>   **                                               ***               **
> *  
     [1;3]        23   .0308817      ***     *      ***           *      
>  ***        *              **             **       ***       **      **
> *  
     [2;4]        23   .0298266      ***     *      ***           *      
>  ***        *               *             **       ***        *      **
> *  
     [3;5]        23   .0161388      ***            ***                  
>  ***                                                                  *
> *  
     [4;6]        23   .0109738       **              *                  
>                                                                        
>    
     [5;7]        23   .0164736      ***            ***                  
>   **                                               ***               **
> *  
     [6;8]        23   .0171853      ***            ***                  
>  ***                                       *       ***        *      **
> *  
     [7;9]        23   .0168475      ***            ***                  
>  ***                                               ***        *      **
> *  
    [8;10]        23   .0065484                       *                  
>  ***                                                **               **
> *  
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  aarfile
Cumulative average abnormal returns:  Car_Diag_post
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_post
Logfile:  Diag_post

. 
. 
. use "List_Trucost_US_top10pcCISc1_491.dta", clear

. 
. eventstudy3 ISIN Date using Returns_Trucost_US_top10pcCISc1_491, return
> s(Return_Unadj) /// 
> car1LB(-2) car1UB(0) car2LB(-3) car2UB(-1) car3LB(-4) car3UB(-2) car4LB
> (-5) car4UB(-3) car5LB(-6) car5UB(-4) ///
> car6LB(-7) car6UB(-5) car7LB(-8) car7UB(-6) car8LB(-9) car8UB(-7) car9L
> B(-10) car9UB(-8) car10LB(-11) car10UB(-9)  ///
> evwlb(-20)  evwub(10) eswlb(-121) eswub(-21) mod(FM) logreturns ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> garch archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_neg) carfile(Car_Diag_neg) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 23 events completed.
2 out of 23 events completed.
3 out of 23 events completed.
4 out of 23 events completed.
5 out of 23 events completed.
6 out of 23 events completed.
7 out of 23 events completed.
8 out of 23 events completed.
9 out of 23 events completed.
10 out of 23 events completed.
11 out of 23 events completed.
12 out of 23 events completed.
13 out of 23 events completed.
14 out of 23 events completed.
15 out of 23 events completed.
16 out of 23 events completed.
17 out of 23 events completed.
18 out of 23 events completed.
19 out of 23 events completed.
20 out of 23 events completed.
21 out of 23 events completed.
22 out of 23 events completed.
23 out of 23 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded


Number of events in the event file: 23
-- thereof: Number of events for which security identifiers and event dat
> es are available: 23
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 23
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 23

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        23    .0040735                                            
>                                                 *  
    -19        23    .0073358       **            ***                   *
> **                                   ***      ***  
    -18        23   -.0233751      ***    **      ***           *       *
> **                 **        *       ***      ***  
    -17        23   -.0003429                                            
>                                                    
    -16        23    .0083227      ***            ***                   *
> **                                   ***      ***  
    -15        23     .005653        *             **                   *
> **                                   ***      ***  
    -14        23   -.0022652                                            
>                                       **        *  
    -13        23    .0029739                                            
>                                                    
    -12        23   -.0049925                                           *
> **                                   ***      ***  
    -11        23    .0009229                                            
>  *                                   ***       **  
    -10        23    .0112182      ***            ***                   *
> **                                   ***      ***  
     -9        23   -.0015921                                            
>                                                    
     -8        23   -.0198724      ***    **      ***                   *
> **                  *                ***      ***  
     -7        23   -.0020863                                            
> **                                     *        *  
     -6        23   -.0076012       **                                   
>                                       **           
     -5        23    .0073539       **             **                    
> **                                    **       **  
     -4        23    .0060093        *              *                    
> **                                    **       **  
     -3        23    .0061881       **                                   
>  *                                              *  
     -2        23    -.015636      ***     *      ***                   *
> **                                   ***      ***  
     -1        23     .005768        *             **                   *
> **                                   ***      ***  
      0        23   -.0098712      ***            ***                   *
> **                                   ***      ***  
      1        23     .007404       **            ***                   *
> **                                    **      ***  
      2        23    .0150126      ***     *      ***                   *
> **                  *        *       ***      ***  
      3        23    .0084651      ***            ***                   *
> **                                   ***      ***  
      4        23    .0063489       **                                   
>                                                    
      5        23    .0013248                                            
>                                        *           
      6        23    .0033001                       *                   *
> **                                   ***       **  
      7        23    .0118487      ***            ***                   *
> **                           *       ***      ***  
      8        23    .0020365                                            
> **                                     *       **  
      9        23    .0029623                                            
> **                                             **  
     10        23    .0015497                                            
>                                        *           

           t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ   
> Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   Wi
> lcox  
      [-2;0]        23   -.0197392      ***            ***               
>     ***                                               ***              
>  ***  
     [-3;-1]        23   -.0036798                                       
>                                                         *              
>       
     [-4;-2]        23   -.0034385                                       
>                                                        **              
>       
     [-5;-3]        23    .0195513      ***            ***               
>     ***                                                **              
>  ***  
     [-6;-4]        23     .005762                      **               
>                                                         *              
>  ***  
     [-7;-5]        23   -.0023335                                       
>                                                                        
>       
     [-8;-6]        23   -.0295598      ***     *      ***               
>     ***                                               ***              
>  ***  
     [-9;-7]        23   -.0235507      ***            ***               
>     ***                                               ***              
>  ***  
    [-10;-8]        23   -.0102463       **                              
>                                                       ***              
>       
    [-11;-9]        23     .010549       **            ***               
>     ***                                               ***              
>  ***  
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  aarfile
Cumulative average abnormal returns:  Car_Diag_neg
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_neg
Logfile:  Diag_neg

. 
. 
. use "List_Trucost_US_top10pcCISc1_491.dta", clear

. 
. eventstudy3 ISIN Date using Returns_Trucost_US_top10pcCISc1_491, return
> s(Return_Unadj) /// 
> car1LB(-12) car1UB(-10) car2LB(-13) car2UB(-11) car3LB(-14) car3UB(-12)
>  car4LB(-15) car4UB(-13) car5LB(-16) car5UB(-14) ///
> car6LB(-17) car6UB(-15) car7LB(-18) car7UB(-16) car8LB(-19) car8UB(-17)
>  car9LB(-20) car9UB(-18) ///
> evwlb(-20)  evwub(10) eswlb(-121) eswub(-21) mod(FM) logreturns ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> garch archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_pre) carfile(Car_Diag_pre) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 23 events completed.
2 out of 23 events completed.
3 out of 23 events completed.
4 out of 23 events completed.
5 out of 23 events completed.
6 out of 23 events completed.
7 out of 23 events completed.
8 out of 23 events completed.
9 out of 23 events completed.
10 out of 23 events completed.
11 out of 23 events completed.
12 out of 23 events completed.
13 out of 23 events completed.
14 out of 23 events completed.
15 out of 23 events completed.
16 out of 23 events completed.
17 out of 23 events completed.
18 out of 23 events completed.
19 out of 23 events completed.
20 out of 23 events completed.
21 out of 23 events completed.
22 out of 23 events completed.
23 out of 23 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded

Warning: Some CAR window definitions (options carXLB and carXUB) have bee
> n changed because they were outside the event window.

Number of events in the event file: 23
-- thereof: Number of events for which security identifiers and event dat
> es are available: 23
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 23
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 23

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        23    .0040735                                            
>                                                 *  
    -19        23    .0073358       **            ***                   *
> **                                   ***      ***  
    -18        23   -.0233751      ***    **      ***           *       *
> **                 **        *       ***      ***  
    -17        23   -.0003429                                            
>                                                    
    -16        23    .0083227      ***            ***                   *
> **                                   ***      ***  
    -15        23     .005653        *             **                   *
> **                                   ***      ***  
    -14        23   -.0022652                                            
>                                       **        *  
    -13        23    .0029739                                            
>                                                    
    -12        23   -.0049925                                           *
> **                                   ***      ***  
    -11        23    .0009229                                            
>  *                                   ***       **  
    -10        23    .0112182      ***            ***                   *
> **                                   ***      ***  
     -9        23   -.0015921                                            
>                                                    
     -8        23   -.0198724      ***    **      ***                   *
> **                  *                ***      ***  
     -7        23   -.0020863                                            
> **                                     *        *  
     -6        23   -.0076012       **                                   
>                                       **           
     -5        23    .0073539       **             **                    
> **                                    **       **  
     -4        23    .0060093        *              *                    
> **                                    **       **  
     -3        23    .0061881       **                                   
>  *                                              *  
     -2        23    -.015636      ***     *      ***                   *
> **                                   ***      ***  
     -1        23     .005768        *             **                   *
> **                                   ***      ***  
      0        23   -.0098712      ***            ***                   *
> **                                   ***      ***  
      1        23     .007404       **            ***                   *
> **                                    **      ***  
      2        23    .0150126      ***     *      ***                   *
> **                  *        *       ***      ***  
      3        23    .0084651      ***            ***                   *
> **                                   ***      ***  
      4        23    .0063489       **                                   
>                                                    
      5        23    .0013248                                            
>                                        *           
      6        23    .0033001                       *                   *
> **                                   ***       **  
      7        23    .0118487      ***            ***                   *
> **                           *       ***      ***  
      8        23    .0020365                                            
> **                                     *       **  
      9        23    .0029623                                            
> **                                             **  
     10        23    .0015497                                            
>                                        *           

            t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ  
>  Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   W
> ilcox  
    [-12;-10]        23    .0071486                                      
>        *                                                **             
>   ***  
    [-13;-11]        23   -.0010957                                      
>                                                                        
>        
    [-14;-12]        23   -.0042838                                      
>        *                                                 *             
>    **  
    [-15;-13]        23    .0063617                       *              
>       **                                                               
>        
    [-16;-14]        23    .0117106       **            ***              
>      ***                                               ***             
>   ***  
    [-17;-15]        23    .0136329      ***            ***              
>      ***                                                **             
>   ***  
    [-18;-16]        23   -.0153953      ***            ***              
>      ***                                               ***             
>    **  
    [-19;-17]        23   -.0163822      ***            ***              
>      ***                                               ***             
>    **  
    [-20;-18]        23   -.0119658       **              *              
>                                                        ***             
>        
     [-20;10]        23    .0384373       **            ***              
>       **                                                **             
>   ***  
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  aarfile
Cumulative average abnormal returns:  Car_Diag_pre
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_pre
Logfile:  Diag_pre

. 
. // merge
. 
. use "Car_Diag_pre.dta", clear

. 
. drop if _n==10
(1 observation deleted)

. 
. mmerge t using "Car_Diag_neg", type(1:1) missing(nomatch) 

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_pre.dta
                 obs |      9
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_neg.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_pre.dta
                 obs |     19
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |      9  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. mmerge t using "Car_Diag_post", type(1:1) missing(nomatch)

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_pre.dta
                 obs |     19
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_post.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_pre.dta
                 obs |     29
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |     19  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. 
. 
. gen tNum = ""
(29 missing values generated)

. replace tNum = usubstr(t, 1, ustrpos(t, ";") - 1)
variable tNum was str1 now str4
(29 real changes made)

. replace tNum = subinstr(tNum, "[", "",.) 
(29 real changes made)

. destring tNum, replace
tNum: all characters numeric; replaced as byte

. replace tNum = tNum+1
(29 real changes made)

. 
. order tNum, after(t)

. 
. replace CAARE = CAARE * 100
(29 real changes made)

. 
. gen CILB = CAARE - 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. gen CIUB = CAARE + 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. 
. gen CILB90 = CAARE - 1.645*(abs(CAARE/NCAARECorrado_Cowan))

. gen CIUB90 = CAARE + 1.645*(abs(CAARE/NCAARECorrado_Cowan))

. 
. sort tNum

. 
. replace CILB = -10 if CILB<-10
(0 real changes made)

. replace CILB90 = -10 if CILB90<-10
(0 real changes made)

. replace CIUB = 20 if CIUB > 20
(0 real changes made)

. replace CIUB90 = 20 if CIUB90>20
(0 real changes made)

. 
. twoway line CAARE tNum, lcolor(red) lwidth(medthick) ///
> yscale(range(-10(5)20)) ylabel(-10(5)20) ///
> xlabel(-20(2)10) ///
> graphregion(color(white)) ///
> xtitle("Trading day to/from Monday 14/12/2015") ytitle("CAAR (in %)") /
> //
> legend(off) ///
> xline(-10, lcolor(black)) xline(0, lcolor(black)) ///
> yline(0, lcolor(black)) ///
> text(18 -15 "Pre-negotiation") ///
> text(18 -6 "Negotiation") ///
> text(18 5 "Post-negotiation") ///
> || rcap CILB CIUB tNum, lcolor(blue) ///
> || rcap CILB90 CIUB90 tNum

. 
. graph export "${result}FigD8.pdf", replace
(file /Users/myramohnen/Dropbox/EventStudy_Paris/JAERE/ConditionalAccept/
> RESULTS/FigD8.pdf written in PDF format)

. 
. /*=====================================================================
> =========*/
. /* Figure D9. Abnormal returns for greenest firms in Electric Services 
> sector */
. /*=====================================================================
> =========*/
. 
. use "List_US_MinGR_top8Xtile_ONLY491", clear

. 
. eventstudy3 ISIN Date using Returns_US_MinGR_top8Xtile_ONLY491, returns
> (Return_Unadj) /// 
> car1LB(-1) car1UB(1) car2LB(0) car2UB(2) car3LB(1) car3UB(3) car4LB(2) 
> car4UB(4) car5LB(3) car5UB(5) ///
> car6LB(4) car6UB(6) car7LB(5) car7UB(7) car8LB(6) car8UB(8) car9LB(7) c
> ar9UB(9) car10LB(8) car10UB(10) ///
> evwlb(-20)  evwub(10) eswlb(-121) eswub(-21) mod(FM) logreturns ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> garch archoption(1) garchoption(1)  ///
> diagnosticsfile(Diag_POST_MinGR_yes0913) carfile(Car_Diag_POST_MinGR_ye
> s0913) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 10 events completed.
2 out of 10 events completed.
3 out of 10 events completed.
4 out of 10 events completed.
5 out of 10 events completed.
6 out of 10 events completed.
7 out of 10 events completed.
8 out of 10 events completed.
9 out of 10 events completed.
10 out of 10 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded


Number of events in the event file: 10
-- thereof: Number of events for which security identifiers and event dat
> es are available: 10
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 10
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 10

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        10    .0202603                                            
>                                                    
    -19        10    -.007267                                            
>                                                    
    -18        10   -.0990199      ***   ***      ***         ***       *
> **       **        **       **        **      ***  
    -17        10   -.0366968                      **                    
> **                  *       **        **        *  
    -16        10   -.0388532                      **           *        
> **                                     *       **  
    -15        10    .0097706                                            
>                                                    
    -14        10   -.0104572                                            
>                                                    
    -13        10   -.0020752                                            
>                                                    
    -12        10   -.0521687       **     *      ***          **        
>                                                    
    -11        10   -.0097138                                            
>                                                    
    -10        10   -.0204314                                            
>                                                    
     -9        10    .0490397       **     *      ***          **        
>                                                 *  
     -8        10    .0068768                                            
>                                                    
     -7        10   -.0099874                                            
>                                                    
     -6        10    -.027263                       *                    
> **                                     *       **  
     -5        10    .0006082                                            
>                                                    
     -4        10    .0219436                                            
> **                                              *  
     -3        10    .0798924      ***   ***      ***         ***       *
> **       **        **       **        **       **  
     -2        10    .0038796                                            
>                                                    
     -1        10    .0478867       **             **                   *
> **      ***        **      ***       ***       **  
      0        10    .0282245                     ***          **        
> **        *         *        *        **        *  
      1        10    .0439924        *                                   
>                                                    
      2        10    .0421435        *            ***           *        
> **                  *                 **       **  
      3        10    .0312349                      **                    
>                                                    
      4        10    .0395296                     ***          **        
> **        *                  *                     
      5        10   -.0158972                                            
>                                                    
      6        10   -.0409022        *             **                    
> **                                     *       **  
      7        10   -.0543078       **     *        *                    
> **                                                 
      8        10   -.0040675                                            
>                                                    
      9        10     .021792                                            
>                                                    
     10        10   -.0026457                                            
>                                                    

         t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ   Bo
> ehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   Wilc
> ox  
    [-1;1]        10    .1201035       **    **      ***         ***     
>   ***      ***             ***            ***       ***      ***      *
> **  
     [0;2]        10    .1143604       **    **      ***         ***     
>   ***       **              **             **                 **      *
> **  
     [1;3]        10    .1173708       **    **      ***         ***     
>   ***        *              **              *        **       **       
> **  
     [2;4]        10     .112908       **    **      ***         ***     
>   ***       **              **             **        **      ***      *
> **  
     [3;5]        10    .0548674                     ***         ***     
>    **                                                                  
>     
     [4;6]        10   -.0172698                      **                 
>                                                                        
>     
     [5;7]        10   -.1111072       **    **       **           *     
>                              *              *         *        *       
> **  
     [6;8]        10   -.0992775       **     *      ***          **     
>   ***       **               *              *        **      ***       
> **  
     [7;9]        10   -.0365833                                         
>     *                                                                  
>     
    [8;10]        10    .0150788                                         
>                                                                        
>     
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  aarfile
Cumulative average abnormal returns:  Car_Diag_POST_MinGR_yes0913
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_POST_MinGR_yes0913
Logfile:  Diag_POST_MinGR_yes0913

. 
. use "List_US_MinGR_top8Xtile_ONLY491", clear

. 
. eventstudy3 ISIN Date using Returns_US_MinGR_top8Xtile_ONLY491, returns
> (Return_Unadj) /// 
> car1LB(-2) car1UB(0) car2LB(-3) car2UB(-1) car3LB(-4) car3UB(-2) car4LB
> (-5) car4UB(-3) car5LB(-6) car5UB(-4) ///
> car6LB(-7) car6UB(-5) car7LB(-8) car7UB(-6) car8LB(-9) car8UB(-7) car9L
> B(-10) car9UB(-8) car10LB(-11) car10UB(-9)  ///
> evwlb(-20)  evwub(10) eswlb(-121) eswub(-21) mod(FM) logreturns ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> garch archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_Neg_MinGR_yes0913) carfile(Car_Diag_Neg_MinGR_yes0
> 913) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 10 events completed.
2 out of 10 events completed.
3 out of 10 events completed.
4 out of 10 events completed.
5 out of 10 events completed.
6 out of 10 events completed.
7 out of 10 events completed.
8 out of 10 events completed.
9 out of 10 events completed.
10 out of 10 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded


Number of events in the event file: 10
-- thereof: Number of events for which security identifiers and event dat
> es are available: 10
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 10
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 10

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        10    .0202603                                            
>                                                    
    -19        10    -.007267                                            
>                                                    
    -18        10   -.0990199      ***   ***      ***         ***       *
> **       **        **       **        **      ***  
    -17        10   -.0366968                      **                    
> **                  *       **        **        *  
    -16        10   -.0388532                      **           *        
> **                                     *       **  
    -15        10    .0097706                                            
>                                                    
    -14        10   -.0104572                                            
>                                                    
    -13        10   -.0020752                                            
>                                                    
    -12        10   -.0521687       **     *      ***          **        
>                                                    
    -11        10   -.0097138                                            
>                                                    
    -10        10   -.0204314                                            
>                                                    
     -9        10    .0490397       **     *      ***          **        
>                                                 *  
     -8        10    .0068768                                            
>                                                    
     -7        10   -.0099874                                            
>                                                    
     -6        10    -.027263                       *                    
> **                                     *       **  
     -5        10    .0006082                                            
>                                                    
     -4        10    .0219436                                            
> **                                              *  
     -3        10    .0798924      ***   ***      ***         ***       *
> **       **        **       **        **       **  
     -2        10    .0038796                                            
>                                                    
     -1        10    .0478867       **             **                   *
> **      ***        **      ***       ***       **  
      0        10    .0282245                     ***          **        
> **        *         *        *        **        *  
      1        10    .0439924        *                                   
>                                                    
      2        10    .0421435        *            ***           *        
> **                  *                 **       **  
      3        10    .0312349                      **                    
>                                                    
      4        10    .0395296                     ***          **        
> **        *                  *                     
      5        10   -.0158972                                            
>                                                    
      6        10   -.0409022        *             **                    
> **                                     *       **  
      7        10   -.0543078       **     *        *                    
> **                                                 
      8        10   -.0040675                                            
>                                                    
      9        10     .021792                                            
>                                                    
     10        10   -.0026457                                            
>                                                    

           t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ   
> Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   Wi
> lcox  
      [-2;0]        10    .0799907        *            ***          **   
>     ***       **              **            ***       ***      ***     
>  ***  
     [-3;-1]        10    .1316586      ***    **      ***         ***   
>     ***       **             ***            ***       ***      ***     
>  ***  
     [-4;-2]        10    .1057156       **    **      ***         ***   
>     ***        *              **             **        **       **     
>  ***  
     [-5;-3]        10    .1024442       **    **      ***         ***   
>     ***       **              **             **       ***      ***     
>  ***  
     [-6;-4]        10   -.0047112                                       
>                                                                        
>       
     [-7;-5]        10   -.0366422                                       
>                                                                        
>       
     [-8;-6]        10   -.0303736                                       
>                                                                        
>       
     [-9;-7]        10    .0459291                     ***         ***   
>                                                                        
>       
    [-10;-8]        10    .0354851                                       
>                                                                        
>       
    [-11;-9]        10    .0188945                                       
>                                                                        
>       
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  aarfile
Cumulative average abnormal returns:  Car_Diag_Neg_MinGR_yes0913
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Neg_MinGR_yes0913
Logfile:  Diag_Neg_MinGR_yes0913

. 
. use "List_US_MinGR_top8Xtile_ONLY491", clear

. 
. eventstudy3 ISIN Date using Returns_US_MinGR_top8Xtile_ONLY491, returns
> (Return_Unadj) /// 
> car1LB(-12) car1UB(-10) car2LB(-13) car2UB(-11) car3LB(-14) car3UB(-12)
>  car4LB(-15) car4UB(-13) car5LB(-16) car5UB(-14) ///
> car6LB(-17) car6UB(-15) car7LB(-18) car7UB(-16) car8LB(-19) car8UB(-17)
>  car9LB(-20) car9UB(-18) ///
> evwlb(-20)  evwub(10) eswlb(-121) eswub(-21) mod(FM) logreturns ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> garch archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_PRE_MinGR_yes0913) carfile(Car_Diag_PRE_MinGR_yes0
> 913) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 10 events completed.
2 out of 10 events completed.
3 out of 10 events completed.
4 out of 10 events completed.
5 out of 10 events completed.
6 out of 10 events completed.
7 out of 10 events completed.
8 out of 10 events completed.
9 out of 10 events completed.
10 out of 10 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded

Warning: Some CAR window definitions (options carXLB and carXUB) have bee
> n changed because they were outside the event window.

Number of events in the event file: 10
-- thereof: Number of events for which security identifiers and event dat
> es are available: 10
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 10
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 10

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        10    .0202603                                            
>                                                    
    -19        10    -.007267                                            
>                                                    
    -18        10   -.0990199      ***   ***      ***         ***       *
> **       **        **       **        **      ***  
    -17        10   -.0366968                      **                    
> **                  *       **        **        *  
    -16        10   -.0388532                      **           *        
> **                                     *       **  
    -15        10    .0097706                                            
>                                                    
    -14        10   -.0104572                                            
>                                                    
    -13        10   -.0020752                                            
>                                                    
    -12        10   -.0521687       **     *      ***          **        
>                                                    
    -11        10   -.0097138                                            
>                                                    
    -10        10   -.0204314                                            
>                                                    
     -9        10    .0490397       **     *      ***          **        
>                                                 *  
     -8        10    .0068768                                            
>                                                    
     -7        10   -.0099874                                            
>                                                    
     -6        10    -.027263                       *                    
> **                                     *       **  
     -5        10    .0006082                                            
>                                                    
     -4        10    .0219436                                            
> **                                              *  
     -3        10    .0798924      ***   ***      ***         ***       *
> **       **        **       **        **       **  
     -2        10    .0038796                                            
>                                                    
     -1        10    .0478867       **             **                   *
> **      ***        **      ***       ***       **  
      0        10    .0282245                     ***          **        
> **        *         *        *        **        *  
      1        10    .0439924        *                                   
>                                                    
      2        10    .0421435        *            ***           *        
> **                  *                 **       **  
      3        10    .0312349                      **                    
>                                                    
      4        10    .0395296                     ***          **        
> **        *                  *                     
      5        10   -.0158972                                            
>                                                    
      6        10   -.0409022        *             **                    
> **                                     *       **  
      7        10   -.0543078       **     *        *                    
> **                                                 
      8        10   -.0040675                                            
>                                                    
      9        10     .021792                                            
>                                                    
     10        10   -.0026457                                            
>                                                    

            t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ  
>  Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   W
> ilcox  
    [-12;-10]        10   -.0823139        *            ***          **  
>        *                                                 *             
>     *  
    [-13;-11]        10   -.0639576                                      
>                                                                        
>        
    [-14;-12]        10    -.064701                                      
>                                                                        
>        
    [-15;-13]        10   -.0027618                                      
>                                                                        
>        
    [-16;-14]        10   -.0395398                      **              
>        *                                                               
>        
    [-17;-15]        10   -.0657794                     ***          **  
>      ***       **              **              *        **      ***    
>    **  
    [-18;-16]        10   -.1745699      ***   ***      ***         ***  
>      ***      ***             ***            ***       ***      ***    
>   ***  
    [-19;-17]        10   -.1429837      ***   ***      ***         ***  
>      ***       **             ***             **       ***      ***    
>   ***  
    [-20;-18]        10   -.0860266        *     *       **              
>                                                                        
>        
     [-20;10]        10    .0153209                                      
>                                                                        
>        
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  aarfile
Cumulative average abnormal returns:  Car_Diag_PRE_MinGR_yes0913
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_PRE_MinGR_yes0913
Logfile:  Diag_PRE_MinGR_yes0913

. 
. // merge
. 
. use "Car_Diag_PRE_MinGR_yes0913", clear

. 
. drop if _n==10
(1 observation deleted)

. 
. mmerge t using "Car_Diag_Neg_MinGR_yes0913", type(1:1) missing(nomatch)
>  

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_PRE_MinGR_yes0913.dta
                 obs |      9
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_Neg_MinGR_yes0913.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_PRE_MinGR_yes0913.dta
                 obs |     19
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |      9  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. mmerge t using "Car_Diag_POST_MinGR_yes0913", type(1:1) missing(nomatch
> )

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_PRE_MinGR_yes0913.dta
                 obs |     19
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_POST_MinGR_yes0913.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_PRE_MinGR_yes0913.dta
                 obs |     29
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |     19  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. 
. 
. gen tNum = ""
(29 missing values generated)

. replace tNum = usubstr(t, 1, ustrpos(t, ";") - 1)
variable tNum was str1 now str4
(29 real changes made)

. replace tNum = subinstr(tNum, "[", "",.) 
(29 real changes made)

. destring tNum, replace
tNum: all characters numeric; replaced as byte

. replace tNum = tNum+1
(29 real changes made)

. 
. order tNum, after(t)

. 
. replace CAARE = CAARE * 100
(29 real changes made)

. 
. gen CILB = CAARE - 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. gen CIUB = CAARE + 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. 
. gen CILB90 = CAARE - 1.645*(abs(CAARE/NCAARECorrado_Cowan))

. gen CIUB90 = CAARE + 1.645*(abs(CAARE/NCAARECorrado_Cowan))

. 
. sort tNum

. 
. replace CILB = -30 if CILB<-30
(3 real changes made)

. replace CILB90 = -30 if CILB90<-30
(1 real change made)

. replace CIUB = 30 if CIUB > 30
(3 real changes made)

. replace CIUB90 = 30 if CIUB90>30
(2 real changes made)

. 
. twoway line CAARE tNum, lcolor(red) lwidth(medthick) ///
> yscale(range(-10(10)20)) ylabel(-30(10)30) ///
> xlabel(-20(2)10) ///
> graphregion(color(white)) ///
> xtitle("Trading day to/from Monday 14/12/2015") ytitle("CAAR (in %)") /
> //
> legend(off) ///
> xline(-10, lcolor(black)) xline(0, lcolor(black)) ///
> yline(0, lcolor(black)) ///
> text(27 -15 "Pre-negotiation") ///
> text(27 -6 "Negotiation") ///
> text(27 5 "Post-negotiation") ///
> || rcap CILB CIUB tNum, lcolor(blue) ///
> || rcap CILB90 CIUB90 tNum

. 
. graph export "${result}FigD9.pdf", replace
(file /Users/myramohnen/Dropbox/EventStudy_Paris/JAERE/ConditionalAccept/
> RESULTS/FigD9.pdf written in PDF format)

. 
. /*=====================================================================
> =========*/
. /* Figures E1a. Results with 5-day CAARs for top 30% green firms */ 
. /*=====================================================================
> =========*/
. 
. use "List_US_MinGR_top8Xtile.dta", clear

. 
. eventstudy3 ISIN Date using Returns_US_MinGR_top8Xtile, returns(Return_
> Unadj) /// 
> car1LB(-20) car1UB(-16) ///
> car2LB(-15) car2UB(-11) ///
> car3LB(-10) car3UB(-6) ///
> car4LB(-5) car4UB(-1) ///
> car5LB(0) car5UB(5) ///
> car6LB(6) car6UB(10) ///
> evwlb(-20)  evwub(10) eswlb(-121) eswub(-21) ///
> mod(FM) ///
> logreturns ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> garch archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_CAR05_MinGR_top8Xtile)  ///
> crossfile(Cross_Car05_top8Xtile) ///
> carfile(Car_Diag_CAR05_MinGR_top8Xtile) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 63 events completed.
2 out of 63 events completed.
3 out of 63 events completed.
4 out of 63 events completed.
5 out of 63 events completed.
6 out of 63 events completed.
7 out of 63 events completed.
8 out of 63 events completed.
9 out of 63 events completed.
10 out of 63 events completed.
11 out of 63 events completed.
12 out of 63 events completed.
13 out of 63 events completed.
14 out of 63 events completed.
15 out of 63 events completed.
16 out of 63 events completed.
17 out of 63 events completed.
18 out of 63 events completed.
19 out of 63 events completed.
20 out of 63 events completed.
21 out of 63 events completed.
22 out of 63 events completed.
23 out of 63 events completed.
24 out of 63 events completed.
25 out of 63 events completed.
26 out of 63 events completed.
27 out of 63 events completed.
28 out of 63 events completed.
29 out of 63 events completed.
30 out of 63 events completed.
31 out of 63 events completed.
32 out of 63 events completed.
33 out of 63 events completed.
34 out of 63 events completed.
35 out of 63 events completed.
36 out of 63 events completed.
37 out of 63 events completed.
38 out of 63 events completed.
39 out of 63 events completed.
40 out of 63 events completed.
41 out of 63 events completed.
42 out of 63 events completed.
43 out of 63 events completed.
44 out of 63 events completed.
45 out of 63 events completed.
46 out of 63 events completed.
47 out of 63 events completed.
48 out of 63 events completed.
49 out of 63 events completed.
50 out of 63 events completed.
51 out of 63 events completed.
52 out of 63 events completed.
53 out of 63 events completed.
54 out of 63 events completed.
55 out of 63 events completed.
56 out of 63 events completed.
57 out of 63 events completed.
58 out of 63 events completed.
59 out of 63 events completed.
60 out of 63 events completed.
61 out of 63 events completed.
62 out of 63 events completed.
63 out of 63 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded

Warning: Some CAR window definitions (options carXLB and carXUB) have bee
> n changed because they were outside the event window.

Number of events in the event file: 63
-- thereof: Number of events for which security identifiers and event dat
> es are available: 63
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 63
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 63

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        63     .008873                                            
>                                                    
    -19        63    .0000798                                            
>                                                    
    -18        63   -.0235109      ***   ***      ***         ***       *
> **       **        **       **       ***      ***  
    -17        63    -.005471                                            
>                                                    
    -16        63    .0024118                       *                    
>                                        *           
    -15        63   -.0004288                                            
>                                                    
    -14        63    .0034991                                            
>                                       **           
    -13        63   -.0015094                                            
>                                                    
    -12        63   -.0063132                                            
>                                                    
    -11        63    .0035549                                            
> **                                     *        *  
    -10        63    .0066933                       *                    
> **                                                 
     -9        63    .0168797       **     *       **                    
> **                                    **      ***  
     -8        63    .0046158                                            
>                                                    
     -7        63    .0045394                                            
>                                                 *  
     -6        63   -.0079443                       *                    
> **                                             **  
     -5        63      .00137                                            
>                                                    
     -4        63    .0013938                                            
>                                                    
     -3        63     .015141        *     *       **                    
>  *                                    **       **  
     -2        63     .000316                                            
>                                                    
     -1        63    .0467067      ***   ***       **                    
>                                                    
      0        63    .0131482        *             **                    
> **                                    **      ***  
      1        63    .0106156                       *                    
>  *                                                 
      2        63    .0270705      ***   ***      ***         ***       *
> **      ***       ***      ***       ***      ***  
      3        63    .0148925        *     *       **                    
>  *                                    **       **  
      4        63    .0172998       **     *      ***         ***       *
> **       **        **       **        **      ***  
      5        63    .0060397                                            
>                                                    
      6        63   -.0156303       **     *                             
>                                               ***  
      7        63   -.0079434                                            
>                                       **           
      8        63     -.00098                                            
>                                                    
      9        63    .0028723                       *                    
> **                                                 
     10        63    -.004582                                            
>                                                    

            t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ  
>  Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   W
> ilcox  
    [-20;-16]        63   -.0176174                                      
>                                                                        
>        
    [-15;-11]        63   -.0011974                                      
>                                                                        
>        
     [-10;-6]        63    .0247839        *            ***          **  
>       **                                                 *       **    
>    **  
      [-5;-1]        63    .0649274      ***   ***       **              
>                                                                        
>    **  
        [0;5]        63    .0890663      ***   ***      ***         ***  
>      ***      ***             ***            ***       ***      ***    
>   ***  
       [6;10]        63   -.0262635        *                             
>                                                                        
>    **  
     [-20;10]        63    .1336993      ***   ***      ***         ***  
>       **                       **              *       ***       **    
>   ***  
     [-20;10]        63    .1336993      ***   ***      ***         ***  
>       **                       **              *       ***       **    
>   ***  
     [-20;10]        63    .1336993      ***   ***      ***         ***  
>       **                       **              *       ***       **    
>   ***  
     [-20;10]        63    .1336993      ***   ***      ***         ***  
>       **                       **              *       ***       **    
>   ***  
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  aarfile
Cumulative average abnormal returns:  Car_Diag_CAR05_MinGR_top8Xtile
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  Cross_Car05_to
> p8Xtile
Diagnostic of events that are excluded:  Diag_CAR05_MinGR_top8Xtile
Logfile:  Diag_CAR05_MinGR_top8Xtile

. 
. use "Car_Diag_CAR05_MinGR_top8Xtile.dta", clear

. 
. drop in 7/10
(4 observations deleted)

. 
. replace CAARE = CAARE * 100
(6 real changes made)

. 
. gen tNum = _n

. order tNum, after(t)

. 
.  // Corrado-Cowan CIs
. gen CILB = CAARE - 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. gen CIUB = CAARE + 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. 
. * 90% Corrado CI
. gen CILB90 = CAARE - 1.645*(abs(CAARE/NCAARECorrado_Cowan))

. gen CIUB90 = CAARE + 1.645*(abs(CAARE/NCAARECorrado_Cowan))

. 
. sort tNum

. twoway scatter CAARE tNum, mcolor(red) msize(2) ///
> ylabel(-20(10)20) ///
> xlabel(1 "[-20,15)" 2 "[-15,10)" 3 "[-10,-5)" 4 "[-5,0)" 5 "[0,5)" 6 "[
> 5,10)") ///
> graphregion(color(white)) ///
> xtitle("Trading day to/from Monday 14/12/2015") ytitle("CAAR (in %)") /
> //
> legend(off) ///
> xline(2.5, lcolor(black)) xline(4.5, lcolor(black)) ///
> yline(0, lcolor(black)) ///
> text(18 1.5 "Pre-negotiation") ///
> text(18 3.5 "Negotiation") ///
> text(18 5.5 "Post-negotiation") ///
> || rcap CILB CIUB tNum, lcolor(blue) ///
> || rcap CILB90 CIUB90 tNum 

. 
. graph export "${result}FigE1a.pdf", replace
(file /Users/myramohnen/Dropbox/EventStudy_Paris/JAERE/ConditionalAccept/
> RESULTS/FigE1a.pdf written in PDF format)

. 
. /*=====================================================================
> =========*/
. /* Figure E1b. Results with 5-day CAARs for top 100% green firms */ 
. /*=====================================================================
> =========*/
. 
. use "List_US_MinGR_eq1.dta", clear

. 
. eventstudy3 ISIN Date using Returns_US_MinGR_eq1, returns(Return_Unadj)
>  /// 
> car1LB(-20) car1UB(-16) ///
> car2LB(-15) car2UB(-11) ///
> car3LB(-10) car3UB(-6) ///
> car4LB(-5) car4UB(-1) ///
> car5LB(0) car5UB(5) ///
> car6LB(6) car6UB(10) ///
> evwlb(-20)  evwub(10) eswlb(-121) eswub(-21) ///
> mod(FM) ///
> logreturns ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> garch archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_CAR05_MinGR_eq1)  ///
> crossfile(Cross_Car05_MinGR_eq1) ///
> carfile(Car_Diag_CAR05_MinGR_eq1) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 51 events completed.
2 out of 51 events completed.
3 out of 51 events completed.
4 out of 51 events completed.
5 out of 51 events completed.
6 out of 51 events completed.
7 out of 51 events completed.
8 out of 51 events completed.
9 out of 51 events completed.
10 out of 51 events completed.
11 out of 51 events completed.
12 out of 51 events completed.
13 out of 51 events completed.
14 out of 51 events completed.
15 out of 51 events completed.
16 out of 51 events completed.
17 out of 51 events completed.
18 out of 51 events completed.
19 out of 51 events completed.
20 out of 51 events completed.
21 out of 51 events completed.
22 out of 51 events completed.
23 out of 51 events completed.
24 out of 51 events completed.
25 out of 51 events completed.
26 out of 51 events completed.
27 out of 51 events completed.
28 out of 51 events completed.
29 out of 51 events completed.
30 out of 51 events completed.
31 out of 51 events completed.
32 out of 51 events completed.
33 out of 51 events completed.
34 out of 51 events completed.
35 out of 51 events completed.
36 out of 51 events completed.
37 out of 51 events completed.
38 out of 51 events completed.
39 out of 51 events completed.
40 out of 51 events completed.
41 out of 51 events completed.
42 out of 51 events completed.
43 out of 51 events completed.
44 out of 51 events completed.
45 out of 51 events completed.
46 out of 51 events completed.
47 out of 51 events completed.
48 out of 51 events completed.
49 out of 51 events completed.
50 out of 51 events completed.
51 out of 51 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded

Warning: Some CAR window definitions (options carXLB and carXUB) have bee
> n changed because they were outside the event window.

Number of events in the event file: 51
-- thereof: Number of events for which security identifiers and event dat
> es are available: 51
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 51
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 51

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        51    .0109521                                            
>                                                    
    -19        51   -.0000329                                            
>                                                    
    -18        51   -.0273714      ***    **      ***         ***       *
> **       **        **        *         *      ***  
    -17        51   -.0068784                                            
>                                                    
    -16        51    -.000301                                            
>                                                    
    -15        51   -.0011794                                            
>                                                    
    -14        51    .0061375                                            
>                                        *           
    -13        51   -.0028361                                            
>                                                    
    -12        51   -.0071297                                            
>                                                    
    -11        51    .0025862                                            
>                                                    
    -10        51    .0068402                       *                    
>  *                                                 
     -9        51    .0198658       **     *       **                    
> **                                    **      ***  
     -8        51     .010298                      **                    
> **                                                 
     -7        51    .0060761                                            
>                                                 *  
     -6        51   -.0093535                       *                    
> **                                             **  
     -5        51    .0017606                                            
>                                                    
     -4        51     .002343                                            
>                                                    
     -3        51    .0179887        *     *      ***           *        
> **                                    **       **  
     -2        51    .0022042                                            
>                                                    
     -1        51    .0588608      ***   ***      ***          **        
>                                                 *  
      0        51    .0167641        *            ***          **       *
> **        *        **       **       ***      ***  
      1        51    .0108716                                            
>                                                    
      2        51    .0294045      ***   ***      ***         ***       *
> **       **        **       **       ***      ***  
      3        51    .0178399        *              *                    
>                                       **       **  
      4        51    .0205334       **     *      ***          **       *
> **       **        **       **        **      ***  
      5        51    .0090952                      **                    
> **                                                 
      6        51   -.0192342       **     *        *                    
>  *                           *         *      ***  
      7        51   -.0090525                                            
>                                        *           
      8        51   -.0012556                                            
>                                                    
      9        51    .0033626                                            
>                                                    
     10        51   -.0054523                                            
>                                                    

            t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ  
>  Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   W
> ilcox  
    [-20;-16]        51   -.0236315                                      
>                                                                        
>        
    [-15;-11]        51   -.0024215                                      
>                                                                        
>        
     [-10;-6]        51    .0337266        *            ***         ***  
>      ***       **               *                       **      ***    
>    **  
      [-5;-1]        51    .0831572      ***   ***      ***          **  
>        *                        *                                      
>   ***  
        [0;5]        51    .1045089      ***   ***      ***         ***  
>      ***      ***             ***            ***       ***      ***    
>   ***  
       [6;10]        51   -.0316321        *             **              
>                                                                        
>    **  
     [-20;10]        51    .1637077      ***   ***      ***         ***  
>       **                        *              *       ***        *    
>   ***  
     [-20;10]        51    .1637077      ***   ***      ***         ***  
>       **                        *              *       ***        *    
>   ***  
     [-20;10]        51    .1637077      ***   ***      ***         ***  
>       **                        *              *       ***        *    
>   ***  
     [-20;10]        51    .1637077      ***   ***      ***         ***  
>       **                        *              *       ***        *    
>   ***  
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  aarfile
Cumulative average abnormal returns:  Car_Diag_CAR05_MinGR_eq1
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  Cross_Car05_Mi
> nGR_eq1
Diagnostic of events that are excluded:  Diag_CAR05_MinGR_eq1
Logfile:  Diag_CAR05_MinGR_eq1

. 
. use "Car_Diag_CAR05_MinGR_eq1.dta", clear

. 
. drop in 7/10
(4 observations deleted)

. 
. replace CAARE = CAARE * 100
(6 real changes made)

. 
. gen tNum = _n

. order tNum, after(t)

. 
.  // Corrado-Cowan CIs
. gen CILB = CAARE - 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. gen CIUB = CAARE + 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. 
. * 90% Corrado CI
. gen CILB90 = CAARE - 1.645*(abs(CAARE/NCAARECorrado_Cowan))

. gen CIUB90 = CAARE + 1.645*(abs(CAARE/NCAARECorrado_Cowan))

. 
. sort tNum

. twoway scatter CAARE tNum, mcolor(red) msize(2) ///
> ylabel(-20(10)20) ///
> xlabel(1 "[-20,15)" 2 "[-15,10)" 3 "[-10,-5)" 4 "[-5,0)" 5 "[0,5)" 6 "[
> 5,10)") ///
> graphregion(color(white)) ///
> xtitle("Trading day to/from Monday 14/12/2015") ytitle("CAAR (in %)") /
> //
> legend(off) ///
> xline(2.5, lcolor(black)) xline(4.5, lcolor(black)) ///
> yline(0, lcolor(black)) ///
> text(18 1.5 "Pre-negotiation") ///
> text(18 3.5 "Negotiation") ///
> text(18 5.5 "Post-negotiation") ///
> || rcap CILB CIUB tNum, lcolor(blue) ///
> || rcap CILB90 CIUB90 tNum 

. 
. graph export "${result}FigE1b.pdf", replace
(file /Users/myramohnen/Dropbox/EventStudy_Paris/JAERE/ConditionalAccept/
> RESULTS/FigE1b.pdf written in PDF format)

. 
. /*=====================================================================
> =========*/
. /* Figure E1c. Results with 5-day CAARs for top 40% green firms */ 
. /*=====================================================================
> =========*/
. 
. use "List_US_MinGR_top40pc.dta", clear

. 
. eventstudy3 ISIN Date using Returns_US_MinGR_top40pc, returns(Return_Un
> adj) /// 
> car1LB(-20) car1UB(-16) ///
> car2LB(-15) car2UB(-11) ///
> car3LB(-10) car3UB(-6) ///
> car4LB(-5) car4UB(-1) ///
> car5LB(0) car5UB(5) ///
> car6LB(6) car6UB(10) ///
> evwlb(-20)  evwub(10) eswlb(-121) eswub(-21) ///
> mod(FM) ///
> logreturns ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> garch archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_CAR05_MinGR_top40pc)  ///
> crossfile(Cross_Car05_MinGR_top40pc) ///
> carfile(Car_Diag_CAR05_MinGR_top40pc) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 83 events completed.
2 out of 83 events completed.
3 out of 83 events completed.
4 out of 83 events completed.
5 out of 83 events completed.
6 out of 83 events completed.
7 out of 83 events completed.
8 out of 83 events completed.
9 out of 83 events completed.
10 out of 83 events completed.
11 out of 83 events completed.
12 out of 83 events completed.
13 out of 83 events completed.
14 out of 83 events completed.
15 out of 83 events completed.
16 out of 83 events completed.
17 out of 83 events completed.
18 out of 83 events completed.
19 out of 83 events completed.
20 out of 83 events completed.
21 out of 83 events completed.
22 out of 83 events completed.
23 out of 83 events completed.
24 out of 83 events completed.
25 out of 83 events completed.
26 out of 83 events completed.
27 out of 83 events completed.
28 out of 83 events completed.
29 out of 83 events completed.
30 out of 83 events completed.
31 out of 83 events completed.
32 out of 83 events completed.
33 out of 83 events completed.
34 out of 83 events completed.
35 out of 83 events completed.
36 out of 83 events completed.
37 out of 83 events completed.
38 out of 83 events completed.
39 out of 83 events completed.
40 out of 83 events completed.
41 out of 83 events completed.
42 out of 83 events completed.
43 out of 83 events completed.
44 out of 83 events completed.
45 out of 83 events completed.
46 out of 83 events completed.
47 out of 83 events completed.
48 out of 83 events completed.
49 out of 83 events completed.
50 out of 83 events completed.
51 out of 83 events completed.
52 out of 83 events completed.
53 out of 83 events completed.
54 out of 83 events completed.
55 out of 83 events completed.
56 out of 83 events completed.
57 out of 83 events completed.
58 out of 83 events completed.
59 out of 83 events completed.
60 out of 83 events completed.
61 out of 83 events completed.
62 out of 83 events completed.
63 out of 83 events completed.
64 out of 83 events completed.
65 out of 83 events completed.
66 out of 83 events completed.
67 out of 83 events completed.
68 out of 83 events completed.
69 out of 83 events completed.
70 out of 83 events completed.
71 out of 83 events completed.
72 out of 83 events completed.
73 out of 83 events completed.
74 out of 83 events completed.
75 out of 83 events completed.
76 out of 83 events completed.
77 out of 83 events completed.
78 out of 83 events completed.
79 out of 83 events completed.
80 out of 83 events completed.
81 out of 83 events completed.
82 out of 83 events completed.
83 out of 83 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded

Warning: Some CAR window definitions (options carXLB and carXUB) have bee
> n changed because they were outside the event window.

Number of events in the event file: 83
-- thereof: Number of events for which security identifiers and event dat
> es are available: 83
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 83
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 83

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        83    .0099487                      **                    
> **                                              *  
    -19        83   -.0009246                                            
>                                                    
    -18        83   -.0207871      ***   ***      ***         ***       *
> **      ***       ***       **       ***      ***  
    -17        83   -.0038076                                            
>                                                    
    -16        83    .0005247                                            
>                                                    
    -15        83    -.001109                                            
>                                                    
    -14        83    .0010583                                            
>                                       **       **  
    -13        83   -.0011289                                            
>                                                    
    -12        83   -.0050515                                            
>                                                    
    -11        83    .0042605                       *                   *
> **        *                           **       **  
    -10        83    .0081833                      **                    
> **                                     *        *  
     -9        83    .0133186       **     *       **                    
> **                                    **      ***  
     -8        83    .0053099                                            
>                                                    
     -7        83    .0054141                                            
>                                                 *  
     -6        83   -.0049741                                            
>                                                    
     -5        83    .0014867                                            
>                                                    
     -4        83   -.0004637                                            
>                                                    
     -3        83    .0147168       **    **      ***           *        
> **                                    **      ***  
     -2        83   -.0013447                      **                    
> **                                                 
     -1        83    .0374905      ***   ***       **                    
>                                                    
      0        83    .0097419                      **                    
>  *                                     *      ***  
      1        83    .0044803                                            
>                                                    
      2        83    .0229033      ***   ***      ***         ***       *
> **      ***       ***      ***       ***      ***  
      3        83    .0143998       **     *      ***           *        
> **                  *        *       ***      ***  
      4        83    .0163901      ***    **      ***         ***       *
> **      ***        **       **       ***      ***  
      5        83    .0065961                                            
>                                                    
      6        83   -.0121971       **                                   
>                                                **  
      7        83   -.0036895                                            
>                                        *           
      8        83   -.0005002                                            
>                                                    
      9        83    .0031039                       *                    
> **                                                 
     10        83   -.0063632                                            
>                                        *       **  

            t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ  
>  Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   W
> ilcox  
    [-20;-16]        83    -.015046                                      
>                                                                        
>        
    [-15;-11]        83   -.0019708                                      
>                                                                        
>        
     [-10;-6]        83    .0272519       **            ***         ***  
>      ***        *               *              *       ***      ***    
>   ***  
      [-5;-1]        83    .0518856      ***   ***       **              
>                                                                        
>    **  
        [0;5]        83    .0745114      ***   ***      ***         ***  
>      ***      ***             ***            ***       ***      ***    
>   ***  
       [6;10]        83   -.0196461        *                             
>                                                                        
>     *  
     [-20;10]        83    .1169861      ***   ***      ***         ***  
>      ***        *              **             **       ***      ***    
>   ***  
     [-20;10]        83    .1169861      ***   ***      ***         ***  
>      ***        *              **             **       ***      ***    
>   ***  
     [-20;10]        83    .1169861      ***   ***      ***         ***  
>      ***        *              **             **       ***      ***    
>   ***  
     [-20;10]        83    .1169861      ***   ***      ***         ***  
>      ***        *              **             **       ***      ***    
>   ***  
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  aarfile
Cumulative average abnormal returns:  Car_Diag_CAR05_MinGR_top40pc
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  Cross_Car05_Mi
> nGR_top40pc
Diagnostic of events that are excluded:  Diag_CAR05_MinGR_top40pc
Logfile:  Diag_CAR05_MinGR_top40pc

. 
. use "Car_Diag_CAR05_MinGR_top40pc.dta", clear

. 
. drop in 7/10
(4 observations deleted)

. 
. replace CAARE = CAARE * 100
(6 real changes made)

. 
. gen tNum = _n

. order tNum, after(t)

. 
.  // Corrado-Cowan CIs
. gen CILB = CAARE - 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. gen CIUB = CAARE + 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. 
. * 90% Corrado CI
. gen CILB90 = CAARE - 1.645*(abs(CAARE/NCAARECorrado_Cowan))

. gen CIUB90 = CAARE + 1.645*(abs(CAARE/NCAARECorrado_Cowan))

. 
. sort tNum

. twoway scatter CAARE tNum, mcolor(red) msize(2) ///
> ylabel(-20(10)20) ///
> xlabel(1 "[-20,15)" 2 "[-15,10)" 3 "[-10,-5)" 4 "[-5,0)" 5 "[0,5)" 6 "[
> 5,10)") ///
> graphregion(color(white)) ///
> xtitle("Trading day to/from Monday 14/12/2015") ytitle("CAAR (in %)") /
> //
> legend(off) ///
> xline(2.5, lcolor(black)) xline(4.5, lcolor(black)) ///
> yline(0, lcolor(black)) ///
> text(18 1.5 "Pre-negotiation") ///
> text(18 3.5 "Negotiation") ///
> text(18 5.5 "Post-negotiation") ///
> || rcap CILB CIUB tNum, lcolor(blue) ///
> || rcap CILB90 CIUB90 tNum 

. 
. graph export "${result}FigE1c.pdf", replace
(file /Users/myramohnen/Dropbox/EventStudy_Paris/JAERE/ConditionalAccept/
> RESULTS/FigE1c.pdf written in PDF format)

. 
. /*=====================================================================
> =========*/
. /* Figure E1d. Results with 5-day CAARs for median green firms */ 
. /*=====================================================================
> =========*/
. 
. use "List_US_MinGR_top5Xtile.dta", clear

. 
. eventstudy3 ISIN Date using Returns_US_MinGR_top5Xtile, returns(Return_
> Unadj) /// 
> car1LB(-20) car1UB(-16) ///
> car2LB(-15) car2UB(-11) ///
> car3LB(-10) car3UB(-6) ///
> car4LB(-5) car4UB(-1) ///
> car5LB(0) car5UB(5) ///
> car6LB(6) car6UB(10) ///
> evwlb(-20)  evwub(10) eswlb(-121) eswub(-21) ///
> mod(FM) ///
> logreturns ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> garch archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_CAR05_MinGR_top5Xtile)  ///
> crossfile(Cross_Car05_MinGR_top5Xtile) ///
> carfile(Car_Diag_CAR05_MinGR_top5Xtile) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 22 events completed.
2 out of 22 events completed.
3 out of 22 events completed.
4 out of 22 events completed.
5 out of 22 events completed.
6 out of 22 events completed.
7 out of 22 events completed.
8 out of 22 events completed.
9 out of 22 events completed.
10 out of 22 events completed.
11 out of 22 events completed.
12 out of 22 events completed.
13 out of 22 events completed.
14 out of 22 events completed.
15 out of 22 events completed.
16 out of 22 events completed.
17 out of 22 events completed.
18 out of 22 events completed.
19 out of 22 events completed.
20 out of 22 events completed.
21 out of 22 events completed.
22 out of 22 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded

Warning: Some CAR window definitions (options carXLB and carXUB) have bee
> n changed because they were outside the event window.

Number of events in the event file: 22
-- thereof: Number of events for which security identifiers and event dat
> es are available: 22
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 22
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 22

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        22    .0058769                                            
>                                                    
    -19        22   -.0029074                                            
>                                        *        *  
    -18        22   -.0131302       **    **      ***          **       *
> **       **         *        *                     
    -17        22    .0097416        *     *        *                    
>  *        *                                     *  
    -16        22    .0067925                      **           *        
> **       **         *        *        **        *  
    -15        22    .0012713                                            
>                                                    
    -14        22   -.0088934              *        *                   *
> **      ***        **      ***       ***      ***  
    -13        22   -.0065264                                            
>                                                    
    -12        22   -.0060647                                            
>                                                    
    -11        22   -.0015397                                            
>                                                    
    -10        22     .001927                                            
>                                                    
     -9        22    .0070241                                            
>                                                    
     -8        22   -.0062537                                            
>                                                    
     -7        22    .0066408                                            
>                                       **        *  
     -6        22   -.0129992       **    **        *           *       *
> **       **        **       **        **       **  
     -5        22   -.0039829                                            
>                                                    
     -4        22      .00681                                            
>                                                    
     -3        22    .0054409                                            
>                                                    
     -2        22    .0053619                                            
>                                                    
     -1        22    .0060082                                            
>                                                    
      0        22   -.0193608      ***   ***       **          **        
>                                                    
      1        22    .0027665                                            
>                                                    
      2        22    .0042742                                            
>                                                    
      3        22    .0113116       **    **       **          **       *
> **       **        **       **        **       **  
      4        22    .0148557      ***   ***       **          **       *
> **      ***        **       **        **       **  
      5        22    .0030779                                            
>                                                    
      6        22    .0005819                                            
>                                                    
      7        22     .004222                                            
>                                                    
      8        22    .0016659                                            
>                                                    
      9        22    .0093438        *     *                            *
> **       **         *       **                 **  
     10        22    .0014475                                            
>                                                    

            t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ  
>  Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   W
> ilcox  
    [-20;-16]        22    .0063735                                      
>                                                                        
>        
    [-15;-11]        22   -.0217528        *     *        *           *  
>                                                *                       
>     *  
     [-10;-6]        22   -.0036609                                      
>                                                                        
>        
      [-5;-1]        22    .0196379                     ***          **  
>                                                                        
>        
        [0;5]        22    .0169251                                      
>                                 *              *                       
>    **  
       [6;10]        22    .0172611                     ***          **  
>       **       **                              *        **      ***    
>     *  
     [-20;10]        22    .0347839                      **           *  
>                                                                        
>     *  
     [-20;10]        22    .0347839                      **           *  
>                                                                        
>     *  
     [-20;10]        22    .0347839                      **           *  
>                                                                        
>     *  
     [-20;10]        22    .0347839                      **           *  
>                                                                        
>     *  
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  aarfile
Cumulative average abnormal returns:  Car_Diag_CAR05_MinGR_top5Xtile
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  Cross_Car05_Mi
> nGR_top5Xtile
Diagnostic of events that are excluded:  Diag_CAR05_MinGR_top5Xtile
Logfile:  Diag_CAR05_MinGR_top5Xtile

. 
. use "Car_Diag_CAR05_MinGR_top5Xtile.dta", clear

. 
. drop in 7/10
(4 observations deleted)

. 
. replace CAARE = CAARE * 100
(6 real changes made)

. 
. gen tNum = _n

. order tNum, after(t)

. 
.  // Corrado-Cowan CIs
. gen CILB = CAARE - 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. gen CIUB = CAARE + 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. 
. * 90% Corrado CI
. gen CILB90 = CAARE - 1.645*(abs(CAARE/NCAARECorrado_Cowan))

. gen CIUB90 = CAARE + 1.645*(abs(CAARE/NCAARECorrado_Cowan))

. 
. sort tNum

. twoway scatter CAARE tNum, mcolor(red) msize(2) ///
> ylabel(-20(10)20) ///
> xlabel(1 "[-20,15)" 2 "[-15,10)" 3 "[-10,-5)" 4 "[-5,0)" 5 "[0,5)" 6 "[
> 5,10)") ///
> graphregion(color(white)) ///
> xtitle("Trading day to/from Monday 14/12/2015") ytitle("CAAR (in %)") /
> //
> legend(off) ///
> xline(2.5, lcolor(black)) xline(4.5, lcolor(black)) ///
> yline(0, lcolor(black)) ///
> text(18 1.5 "Pre-negotiation") ///
> text(18 3.5 "Negotiation") ///
> text(18 5.5 "Post-negotiation") ///
> || rcap CILB CIUB tNum, lcolor(blue) ///
> || rcap CILB90 CIUB90 tNum 

. 
. graph export "${result}FigE1d.pdf", replace
(file /Users/myramohnen/Dropbox/EventStudy_Paris/JAERE/ConditionalAccept/
> RESULTS/FigE1d.pdf written in PDF format)

. 
. /*=====================================================================
> =========*/
. /* Figure E1e. Results with 5-day CAARs for any green revenue firms */ 
. /*=====================================================================
> =========*/
. 
. use "List_EV2_US_MinGR_yes0913.dta", clear

. 
. eventstudy3 ISIN Date using Returns_EV2_US_MinGR_yes0913, returns(Retur
> n_Unadj) /// 
> car1LB(-20) car1UB(-16) ///
> car2LB(-15) car2UB(-11) ///
> car3LB(-10) car3UB(-6) ///
> car4LB(-5) car4UB(-1) ///
> car5LB(0) car5UB(5) ///
> car6LB(6) car6UB(10) ///
> evwlb(-20)  evwub(10) eswlb(-121) eswub(-21) ///
> mod(FM) ///
> logreturns ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> garch archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_EV2_US_MinGR_yes0913)  ///
> crossfile(Cross_EV2_US_MinGR_yes0913) ///
> carfile(Car_EV2_US_MinGR_yes0913) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 249 events completed.
2 out of 249 events completed.
3 out of 249 events completed.
4 out of 249 events completed.
5 out of 249 events completed.
6 out of 249 events completed.
7 out of 249 events completed.
8 out of 249 events completed.
9 out of 249 events completed.
10 out of 249 events completed.
11 out of 249 events completed.
12 out of 249 events completed.
13 out of 249 events completed.
14 out of 249 events completed.
15 out of 249 events completed.
16 out of 249 events completed.
17 out of 249 events completed.
18 out of 249 events completed.
19 out of 249 events completed.
20 out of 249 events completed.
21 out of 249 events completed.
22 out of 249 events completed.
23 out of 249 events completed.
24 out of 249 events completed.
25 out of 249 events completed.
26 out of 249 events completed.
27 out of 249 events completed.
28 out of 249 events completed.
29 out of 249 events completed.
30 out of 249 events completed.
31 out of 249 events completed.
32 out of 249 events completed.
33 out of 249 events completed.
34 out of 249 events completed.
35 out of 249 events completed.
36 out of 249 events completed.
37 out of 249 events completed.
38 out of 249 events completed.
39 out of 249 events completed.
40 out of 249 events completed.
41 out of 249 events completed.
42 out of 249 events completed.
43 out of 249 events completed.
44 out of 249 events completed.
45 out of 249 events completed.
46 out of 249 events completed.
47 out of 249 events completed.
48 out of 249 events completed.
49 out of 249 events completed.
50 out of 249 events completed.
51 out of 249 events completed.
52 out of 249 events completed.
53 out of 249 events completed.
54 out of 249 events completed.
55 out of 249 events completed.
56 out of 249 events completed.
57 out of 249 events completed.
58 out of 249 events completed.
59 out of 249 events completed.
60 out of 249 events completed.
61 out of 249 events completed.
62 out of 249 events completed.
63 out of 249 events completed.
64 out of 249 events completed.
65 out of 249 events completed.
66 out of 249 events completed.
67 out of 249 events completed.
68 out of 249 events completed.
69 out of 249 events completed.
70 out of 249 events completed.
71 out of 249 events completed.
72 out of 249 events completed.
73 out of 249 events completed.
74 out of 249 events completed.
75 out of 249 events completed.
76 out of 249 events completed.
77 out of 249 events completed.
78 out of 249 events completed.
79 out of 249 events completed.
80 out of 249 events completed.
81 out of 249 events completed.
82 out of 249 events completed.
83 out of 249 events completed.
84 out of 249 events completed.
85 out of 249 events completed.
86 out of 249 events completed.
87 out of 249 events completed.
88 out of 249 events completed.
89 out of 249 events completed.
90 out of 249 events completed.
91 out of 249 events completed.
92 out of 249 events completed.
93 out of 249 events completed.
94 out of 249 events completed.
95 out of 249 events completed.
96 out of 249 events completed.
97 out of 249 events completed.
98 out of 249 events completed.
99 out of 249 events completed.
100 out of 249 events completed.
101 out of 249 events completed.
102 out of 249 events completed.
103 out of 249 events completed.
104 out of 249 events completed.
105 out of 249 events completed.
106 out of 249 events completed.
107 out of 249 events completed.
108 out of 249 events completed.
109 out of 249 events completed.
110 out of 249 events completed.
111 out of 249 events completed.
112 out of 249 events completed.
113 out of 249 events completed.
114 out of 249 events completed.
115 out of 249 events completed.
116 out of 249 events completed.
117 out of 249 events completed.
118 out of 249 events completed.
119 out of 249 events completed.
120 out of 249 events completed.
121 out of 249 events completed.
122 out of 249 events completed.
123 out of 249 events completed.
124 out of 249 events completed.
125 out of 249 events completed.
126 out of 249 events completed.
127 out of 249 events completed.
128 out of 249 events completed.
129 out of 249 events completed.
130 out of 249 events completed.
131 out of 249 events completed.
132 out of 249 events completed.
133 out of 249 events completed.
134 out of 249 events completed.
135 out of 249 events completed.
136 out of 249 events completed.
137 out of 249 events completed.
138 out of 249 events completed.
139 out of 249 events completed.
140 out of 249 events completed.
141 out of 249 events completed.
142 out of 249 events completed.
143 out of 249 events completed.
144 out of 249 events completed.
145 out of 249 events completed.
146 out of 249 events completed.
147 out of 249 events completed.
148 out of 249 events completed.
149 out of 249 events completed.
150 out of 249 events completed.
151 out of 249 events completed.
152 out of 249 events completed.
153 out of 249 events completed.
154 out of 249 events completed.
155 out of 249 events completed.
156 out of 249 events completed.
157 out of 249 events completed.
158 out of 249 events completed.
159 out of 249 events completed.
160 out of 249 events completed.
161 out of 249 events completed.
162 out of 249 events completed.
163 out of 249 events completed.
164 out of 249 events completed.
165 out of 249 events completed.
166 out of 249 events completed.
167 out of 249 events completed.
168 out of 249 events completed.
169 out of 249 events completed.
170 out of 249 events completed.
171 out of 249 events completed.
172 out of 249 events completed.
173 out of 249 events completed.
174 out of 249 events completed.
175 out of 249 events completed.
176 out of 249 events completed.
177 out of 249 events completed.
178 out of 249 events completed.
179 out of 249 events completed.
180 out of 249 events completed.
181 out of 249 events completed.
182 out of 249 events completed.
183 out of 249 events completed.
184 out of 249 events completed.
185 out of 249 events completed.
186 out of 249 events completed.
187 out of 249 events completed.
188 out of 249 events completed.
189 out of 249 events completed.
190 out of 249 events completed.
191 out of 249 events completed.
192 out of 249 events completed.
193 out of 249 events completed.
194 out of 249 events completed.
195 out of 249 events completed.
196 out of 249 events completed.
197 out of 249 events completed.
198 out of 249 events completed.
199 out of 249 events completed.
200 out of 249 events completed.
201 out of 249 events completed.
202 out of 249 events completed.
203 out of 249 events completed.
204 out of 249 events completed.
205 out of 249 events completed.
206 out of 249 events completed.
207 out of 249 events completed.
208 out of 249 events completed.
209 out of 249 events completed.
210 out of 249 events completed.
211 out of 249 events completed.
212 out of 249 events completed.
213 out of 249 events completed.
214 out of 249 events completed.
215 out of 249 events completed.
216 out of 249 events completed.
217 out of 249 events completed.
218 out of 249 events completed.
219 out of 249 events completed.
220 out of 249 events completed.
221 out of 249 events completed.
222 out of 249 events completed.
223 out of 249 events completed.
224 out of 249 events completed.
225 out of 249 events completed.
226 out of 249 events completed.
227 out of 249 events completed.
228 out of 249 events completed.
229 out of 249 events completed.
230 out of 249 events completed.
231 out of 249 events completed.
232 out of 249 events completed.
233 out of 249 events completed.
234 out of 249 events completed.
235 out of 249 events completed.
236 out of 249 events completed.
237 out of 249 events completed.
238 out of 249 events completed.
239 out of 249 events completed.
240 out of 249 events completed.
241 out of 249 events completed.
242 out of 249 events completed.
243 out of 249 events completed.
244 out of 249 events completed.
245 out of 249 events completed.
246 out of 249 events completed.
247 out of 249 events completed.
248 out of 249 events completed.
249 out of 249 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded

Warning: Some CAR window definitions (options carXLB and carXUB) have bee
> n changed because they were outside the event window.

Number of events in the event file: 250
-- thereof: Number of events for which security identifiers and event dat
> es are available: 250
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 250
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 249

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 1
Number of events with insufficient market index/factor return data: 1

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 1
Number of events with insufficient market/index factor return data: 1
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 1


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20       249    .0033595                     ***                    
> **                                   ***      ***  
    -19       249   -.0004694                                            
>  *                                     *           
    -18       249   -.0121312      ***    **      ***          **       *
> **       **        **       **       ***      ***  
    -17       249   -.0024356                                            
>                                                    
    -16       249    .0036949                     ***                   *
> **        *         *        *       ***      ***  
    -15       249   -.0016979                                            
>                                                    
    -14       249   -.0008185                                            
>                                      ***      ***  
    -13       249     .002068                                            
>                                                    
    -12       249     -.00343                                            
>                                        *           
    -11       249    .0034343                     ***                   *
> **                                   ***      ***  
    -10       249    .0057719        *            ***                   *
> **        *                          ***      ***  
     -9       249    .0051625        *                                   
>                                                    
     -8       249   -.0018638                     ***                    
> **                                                 
     -7       249     .004233                                            
>                                                **  
     -6       249    .0034894                                            
>                                                **  
     -5       249   -.0011387                                            
>                                       **           
     -4       249   -.0030771                                            
>                                                    
     -3       249    .0105135      ***    **      ***           *       *
> **        *         *                ***      ***  
     -2       249   -.0011312                     ***                    
> **                                                 
     -1       249    .0139686      ***   ***      ***                    
> **                                   ***       **  
      0       249   -.0027647                       *                    
>  *                                                 
      1       249    .0006863                                            
>                                                    
      2       249    .0117523      ***    **      ***         ***       *
> **       **        **       **       ***      ***  
      3       249    .0085809      ***     *      ***           *       *
> **                  *                ***      ***  
      4       249    .0041606                     ***                   *
> **                                    **       **  
      5       249    .0053143        *                                   
>                                                    
      6       249   -.0055531        *                                   
>                                                    
      7       249    .0041908                      **                   *
> **                                             **  
      8       249    .0015033                                            
> **                                              *  
      9       249   -.0000145                                            
>  *                                     *           
     10       249   -.0046063                       *                    
> **                                   ***      ***  

            t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ  
>  Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   W
> ilcox  
    [-20;-16]       249   -.0079819                       *              
>                                                                        
>        
    [-15;-11]       249   -.0004441                                      
>                                                                        
>        
     [-10;-6]       249     .016793      ***            ***              
>       **                                                               
>        
      [-5;-1]       249    .0191351      ***     *      ***              
>        *                                                               
>   ***  
        [0;5]       249    .0277297      ***    **      ***         ***  
>      ***                        *              *        **             
>   ***  
       [6;10]       249   -.0044798                     ***              
>        *                                               ***        *    
>        
     [-20;10]       249    .0507519      ***     *      ***         ***  
>      ***                                               ***       **    
>   ***  
     [-20;10]       249    .0507519      ***     *      ***         ***  
>      ***                                               ***       **    
>   ***  
     [-20;10]       249    .0507519      ***     *      ***         ***  
>      ***                                               ***       **    
>   ***  
     [-20;10]       249    .0507519      ***     *      ***         ***  
>      ***                                               ***       **    
>   ***  
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  aarfile
Cumulative average abnormal returns:  Car_EV2_US_MinGR_yes0913
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  Cross_EV2_US_M
> inGR_yes0913
Diagnostic of events that are excluded:  Diag_EV2_US_MinGR_yes0913
Logfile:  Diag_EV2_US_MinGR_yes0913

. 
. use "Car_EV2_US_MinGR_yes0913", clear

. 
. drop in 7/10
(4 observations deleted)

. 
. replace CAARE = CAARE * 100
(6 real changes made)

. 
. gen tNum = _n

. order tNum, after(t)

. 
.  // Corrado-Cowan CIs
. gen CILB = CAARE - 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. gen CIUB = CAARE + 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. 
. * 90% Corrado CI
. gen CILB90 = CAARE - 1.645*(abs(CAARE/NCAARECorrado_Cowan))

. gen CIUB90 = CAARE + 1.645*(abs(CAARE/NCAARECorrado_Cowan))

. 
. sort tNum

. twoway scatter CAARE tNum, mcolor(red) msize(2) ///
> ylabel(-20(10)20) ///
> xlabel(1 "[-20,15)" 2 "[-15,10)" 3 "[-10,-5)" 4 "[-5,0)" 5 "[0,5)" 6 "[
> 5,10)") ///
> graphregion(color(white)) ///
> xtitle("Trading day to/from Monday 14/12/2015") ytitle("CAAR (in %)") /
> //
> legend(off) ///
> xline(2.5, lcolor(black)) xline(4.5, lcolor(black)) ///
> yline(0, lcolor(black)) ///
> text(18 1.5 "Pre-negotiation") ///
> text(18 3.5 "Negotiation") ///
> text(18 5.5 "Post-negotiation") ///
> || rcap CILB CIUB tNum, lcolor(blue) ///
> || rcap CILB90 CIUB90 tNum 

. 
. graph export "${result}FigE1e.pdf", replace
(file /Users/myramohnen/Dropbox/EventStudy_Paris/JAERE/ConditionalAccept/
> RESULTS/FigE1e.pdf written in PDF format)

. 
. /*=====================================================================
> =========*/
. /* Figure E1f. Results with 5-day CAARs for top 30% green firms excludi
> ng SIC491 */ 
. /*=====================================================================
> =========*/
. 
. use "List_US_MinGR_top8Xtile_Excl491", clear

. 
. eventstudy3 ISIN Date using Returns_US_MinGR_top8Xtile_Excl491, returns
> (Return_Unadj) /// 
> car1LB(-20) car1UB(-16) ///
> car2LB(-15) car2UB(-11) ///
> car3LB(-10) car3UB(-6) ///
> car4LB(-5) car4UB(-1) ///
> car5LB(0) car5UB(5) ///
> car6LB(6) car6UB(10) ///
> evwlb(-20)  evwub(10) eswlb(-121) eswub(-21) ///
> mod(FM) ///
> logreturns ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> garch archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_US_MinGR_top8Xtile_Excl491)  ///
> crossfile(Cross_US_MinGR_top8Xtile_Excl491) ///
> carfile(Car_US_MinGR_top8Xtile_Excl491) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 40 events completed.
2 out of 40 events completed.
3 out of 40 events completed.
4 out of 40 events completed.
5 out of 40 events completed.
6 out of 40 events completed.
7 out of 40 events completed.
8 out of 40 events completed.
9 out of 40 events completed.
10 out of 40 events completed.
11 out of 40 events completed.
12 out of 40 events completed.
13 out of 40 events completed.
14 out of 40 events completed.
15 out of 40 events completed.
16 out of 40 events completed.
17 out of 40 events completed.
18 out of 40 events completed.
19 out of 40 events completed.
20 out of 40 events completed.
21 out of 40 events completed.
22 out of 40 events completed.
23 out of 40 events completed.
24 out of 40 events completed.
25 out of 40 events completed.
26 out of 40 events completed.
27 out of 40 events completed.
28 out of 40 events completed.
29 out of 40 events completed.
30 out of 40 events completed.
31 out of 40 events completed.
32 out of 40 events completed.
33 out of 40 events completed.
34 out of 40 events completed.
35 out of 40 events completed.
36 out of 40 events completed.
37 out of 40 events completed.
38 out of 40 events completed.
39 out of 40 events completed.
40 out of 40 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded

Warning: Some CAR window definitions (options carXLB and carXUB) have bee
> n changed because they were outside the event window.

Number of events in the event file: 40
-- thereof: Number of events for which security identifiers and event dat
> es are available: 40
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 40
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 40

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        40    .0061571                                            
>                                                    
    -19        40    .0023514                                            
>                                                    
    -18        40   -.0136224        *     *      ***          **       *
> **       **        **       **        **      ***  
    -17        40   -.0019634                                            
>                                                    
    -16        40    .0055082                       *                    
> **                                    **        *  
    -15        40    .0004398                                            
>                                                    
    -14        40    .0098275                                            
>                                                    
    -13        40    -.002635                                            
>                                                    
    -12        40     .003201                                            
>                                                    
    -11        40    .0032274                                            
>  *                                                 
    -10        40    .0154221        *     *      ***           *        
> **        *         *        *        **       **  
     -9        40    .0060931                                            
>                                                    
     -8        40   -.0024882                                            
>                                                    
     -7        40    .0057677                                            
>                                                    
     -6        40   -.0069617                                            
>  *                                                 
     -5        40   -.0031841                                            
>                                                    
     -4        40    .0021573                                            
>                                                    
     -3        40    -.001234                                            
>                                                    
     -2        40    .0018408                       *                    
>                                                    
     -1        40    -.008835                                            
>                                                    
      0        40     .009103                                            
>                                                 *  
      1        40    .0024385                                            
>                                                    
      2        40    .0198565       **    **      ***         ***       *
> **      ***       ***      ***       ***      ***  
      3        40    .0080677                                            
>                                       **           
      4        40    .0117198                     ***          **        
> **                  *                           *  
      5        40    .0151095        *     *                             
>                                        *        *  
      6        40   -.0099959                                            
>                                                    
      7        40    .0026909                                            
>                                                    
      8        40   -.0004228                                            
>                                                    
      9        40   -.0030996                                            
>                                                    
     10        40   -.0040827                                            
>                                                    

            t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ  
>  Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   W
> ilcox  
    [-20;-16]        40   -.0015691                                      
>                                                                        
>        
    [-15;-11]        40    .0140608                       *              
>                                                                        
>        
     [-10;-6]        40    .0178329                       *              
>                                                                        
>        
      [-5;-1]        40   -.0092549                       *              
>                                                                        
>        
        [0;5]        40    .0662948      ***   ***      ***         ***  
>      ***        *             ***            ***       ***      ***    
>   ***  
       [6;10]        40     -.01491                                      
>                                                                        
>        
     [-20;10]        40    .0724545        *            ***          **  
>        *                        *              *        **             
>    **  
     [-20;10]        40    .0724545        *            ***          **  
>        *                        *              *        **             
>    **  
     [-20;10]        40    .0724545        *            ***          **  
>        *                        *              *        **             
>    **  
     [-20;10]        40    .0724545        *            ***          **  
>        *                        *              *        **             
>    **  
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  aarfile
Cumulative average abnormal returns:  Car_US_MinGR_top8Xtile_Excl491
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  Cross_US_MinGR
> _top8Xtile_Excl491
Diagnostic of events that are excluded:  Diag_US_MinGR_top8Xtile_Excl491
Logfile:  Diag_US_MinGR_top8Xtile_Excl491

. 
. use "Car_US_MinGR_top8Xtile_Excl491", clear

. 
. drop in 7/10
(4 observations deleted)

. 
. replace CAARE = CAARE * 100
(6 real changes made)

. 
. gen tNum = _n

. order tNum, after(t)

. 
. // Corrado-Cowan CIs
. gen CILB = CAARE - 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. gen CIUB = CAARE + 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. 
. replace CILB = -20 if CILB<-20
(2 real changes made)

. replace CIUB = 20 if CIUB>20
(2 real changes made)

. 
. // 90% Corrado CI
. gen CILB90 = CAARE - 1.645*(abs(CAARE/NCAARECorrado_Cowan))

. gen CIUB90 = CAARE + 1.645*(abs(CAARE/NCAARECorrado_Cowan))

. 
. replace CILB90 = -20 if CILB90<-20
(2 real changes made)

. replace CIUB90 = 20 if CIUB90>20
(2 real changes made)

. 
. sort tNum

. twoway scatter CAARE tNum, mcolor(red) msize(2) ///
> ylabel(-20(10)20) ///
> xlabel(1 "[-20,15)" 2 "[-15,10)" 3 "[-10,-5)" 4 "[-5,0)" 5 "[0,5)" 6 "[
> 5,10)") ///
> graphregion(color(white)) ///
> xtitle("Trading day to/from Monday 14/12/2015") ytitle("CAAR (in %)") /
> //
> legend(off) ///
> xline(2.5, lcolor(black)) xline(4.5, lcolor(black)) ///
> yline(0, lcolor(black)) ///
> text(18 1.5 "Pre-negotiation") ///
> text(18 3.5 "Negotiation") ///
> text(18 5.5 "Post-negotiation") ///
> || rcap CILB CIUB tNum, lcolor(blue) ///
> || rcap CILB90 CIUB90 tNum 

. 
. graph export "${result}FigE1f.pdf", replace
(file /Users/myramohnen/Dropbox/EventStudy_Paris/JAERE/ConditionalAccept/
> RESULTS/FigE1f.pdf written in PDF format)

. 
. /*=====================================================================
> =========*/
. /* Figure E2. Abnormal returns for top 30% green firms excluding Electr
> icity Generation */
. // Excluding SIC 491 
. /*=====================================================================
> =========*/
. 
. use "List_US_MinGR_top8Xtile_Excl491.dta", clear

. 
. eventstudy3 ISIN Date using Returns_US_MinGR_top8Xtile_Excl491, returns
> (Return_Unadj) /// 
> car1LB(-1) car1UB(1) car2LB(0) car2UB(2) car3LB(1) car3UB(3) car4LB(2) 
> car4UB(4) car5LB(3) car5UB(5) ///
> car6LB(4) car6UB(6) car7LB(5) car7UB(7) car8LB(6) car8UB(8) car9LB(7) c
> ar9UB(9) car10LB(8) car10UB(10) ///
> evwlb(-20)  evwub(10) eswlb(-121) eswub(-21) mod(FM) logreturns ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> garch archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_Post_MinGR_top8Xtile_Excl491) carfile(Car_Diag_Pos
> t_MinGR_top8Xtile_Excl491) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 40 events completed.
2 out of 40 events completed.
3 out of 40 events completed.
4 out of 40 events completed.
5 out of 40 events completed.
6 out of 40 events completed.
7 out of 40 events completed.
8 out of 40 events completed.
9 out of 40 events completed.
10 out of 40 events completed.
11 out of 40 events completed.
12 out of 40 events completed.
13 out of 40 events completed.
14 out of 40 events completed.
15 out of 40 events completed.
16 out of 40 events completed.
17 out of 40 events completed.
18 out of 40 events completed.
19 out of 40 events completed.
20 out of 40 events completed.
21 out of 40 events completed.
22 out of 40 events completed.
23 out of 40 events completed.
24 out of 40 events completed.
25 out of 40 events completed.
26 out of 40 events completed.
27 out of 40 events completed.
28 out of 40 events completed.
29 out of 40 events completed.
30 out of 40 events completed.
31 out of 40 events completed.
32 out of 40 events completed.
33 out of 40 events completed.
34 out of 40 events completed.
35 out of 40 events completed.
36 out of 40 events completed.
37 out of 40 events completed.
38 out of 40 events completed.
39 out of 40 events completed.
40 out of 40 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded


Number of events in the event file: 40
-- thereof: Number of events for which security identifiers and event dat
> es are available: 40
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 40
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 40

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        40    .0061571                                            
>                                                    
    -19        40    .0023514                                            
>                                                    
    -18        40   -.0136224        *     *      ***          **       *
> **       **        **       **        **      ***  
    -17        40   -.0019634                                            
>                                                    
    -16        40    .0055082                       *                    
> **                                    **        *  
    -15        40    .0004398                                            
>                                                    
    -14        40    .0098275                                            
>                                                    
    -13        40    -.002635                                            
>                                                    
    -12        40     .003201                                            
>                                                    
    -11        40    .0032274                                            
>  *                                                 
    -10        40    .0154221        *     *      ***           *        
> **        *         *        *        **       **  
     -9        40    .0060931                                            
>                                                    
     -8        40   -.0024882                                            
>                                                    
     -7        40    .0057677                                            
>                                                    
     -6        40   -.0069617                                            
>  *                                                 
     -5        40   -.0031841                                            
>                                                    
     -4        40    .0021573                                            
>                                                    
     -3        40    -.001234                                            
>                                                    
     -2        40    .0018408                       *                    
>                                                    
     -1        40    -.008835                                            
>                                                    
      0        40     .009103                                            
>                                                 *  
      1        40    .0024385                                            
>                                                    
      2        40    .0198565       **    **      ***         ***       *
> **      ***       ***      ***       ***      ***  
      3        40    .0080677                                            
>                                       **           
      4        40    .0117198                     ***          **        
> **                  *                           *  
      5        40    .0151095        *     *                             
>                                        *        *  
      6        40   -.0099959                                            
>                                                    
      7        40    .0026909                                            
>                                                    
      8        40   -.0004228                                            
>                                                    
      9        40   -.0030996                                            
>                                                    
     10        40   -.0040827                                            
>                                                    

         t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ   Bo
> ehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   Wilc
> ox  
    [-1;1]        40    .0027065                                         
>                                                                        
>     
     [0;2]        40    .0313979       **    **      ***         ***     
>    **        *              **             **       ***      ***      *
> **  
     [1;3]        40    .0303626       **    **      ***         ***     
>   ***        *             ***             **       ***      ***      *
> **  
     [2;4]        40    .0396439      ***   ***      ***         ***     
>   ***       **             ***            ***       ***      ***      *
> **  
     [3;5]        40    .0348969      ***    **      ***          **     
>    **                       **             **        **        *      *
> **  
     [4;6]        40    .0168333                     ***         ***     
>   ***        *               *                                **       
>     
     [5;7]        40    .0078045                                         
>                                                                *       
>     
     [6;8]        40   -.0077278                                         
>                                                                        
>     
     [7;9]        40   -.0008315                                         
>                                                                        
>     
    [8;10]        40    -.007605                                         
>                                                                        
>     
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  aarfile
Cumulative average abnormal returns:  Car_Diag_Post_MinGR_top8Xtile_Excl4
> 91
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Post_MinGR_top8Xtile_Excl49
> 1
Logfile:  Diag_Post_MinGR_top8Xtile_Excl491

. 
. use "List_US_MinGR_top8Xtile_Excl491.dta", clear

. 
. eventstudy3 ISIN Date using Returns_US_MinGR_top8Xtile_Excl491, returns
> (Return_Unadj) /// 
> car1LB(-2) car1UB(0) car2LB(-3) car2UB(-1) car3LB(-4) car3UB(-2) car4LB
> (-5) car4UB(-3) car5LB(-6) car5UB(-4) ///
> car6LB(-7) car6UB(-5) car7LB(-8) car7UB(-6) car8LB(-9) car8UB(-7) car9L
> B(-10) car9UB(-8) car10LB(-11) car10UB(-9)  ///
> evwlb(-20)  evwub(10) eswlb(-121) eswub(-21) mod(FM) logreturns ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> garch archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_Negot_MinGR_top8Xtile_Excl491) carfile(Car_Diag_Ne
> got_MinGR_top8Xtile_Excl491) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 40 events completed.
2 out of 40 events completed.
3 out of 40 events completed.
4 out of 40 events completed.
5 out of 40 events completed.
6 out of 40 events completed.
7 out of 40 events completed.
8 out of 40 events completed.
9 out of 40 events completed.
10 out of 40 events completed.
11 out of 40 events completed.
12 out of 40 events completed.
13 out of 40 events completed.
14 out of 40 events completed.
15 out of 40 events completed.
16 out of 40 events completed.
17 out of 40 events completed.
18 out of 40 events completed.
19 out of 40 events completed.
20 out of 40 events completed.
21 out of 40 events completed.
22 out of 40 events completed.
23 out of 40 events completed.
24 out of 40 events completed.
25 out of 40 events completed.
26 out of 40 events completed.
27 out of 40 events completed.
28 out of 40 events completed.
29 out of 40 events completed.
30 out of 40 events completed.
31 out of 40 events completed.
32 out of 40 events completed.
33 out of 40 events completed.
34 out of 40 events completed.
35 out of 40 events completed.
36 out of 40 events completed.
37 out of 40 events completed.
38 out of 40 events completed.
39 out of 40 events completed.
40 out of 40 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded


Number of events in the event file: 40
-- thereof: Number of events for which security identifiers and event dat
> es are available: 40
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 40
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 40

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        40    .0061571                                            
>                                                    
    -19        40    .0023514                                            
>                                                    
    -18        40   -.0136224        *     *      ***          **       *
> **       **        **       **        **      ***  
    -17        40   -.0019634                                            
>                                                    
    -16        40    .0055082                       *                    
> **                                    **        *  
    -15        40    .0004398                                            
>                                                    
    -14        40    .0098275                                            
>                                                    
    -13        40    -.002635                                            
>                                                    
    -12        40     .003201                                            
>                                                    
    -11        40    .0032274                                            
>  *                                                 
    -10        40    .0154221        *     *      ***           *        
> **        *         *        *        **       **  
     -9        40    .0060931                                            
>                                                    
     -8        40   -.0024882                                            
>                                                    
     -7        40    .0057677                                            
>                                                    
     -6        40   -.0069617                                            
>  *                                                 
     -5        40   -.0031841                                            
>                                                    
     -4        40    .0021573                                            
>                                                    
     -3        40    -.001234                                            
>                                                    
     -2        40    .0018408                       *                    
>                                                    
     -1        40    -.008835                                            
>                                                    
      0        40     .009103                                            
>                                                 *  
      1        40    .0024385                                            
>                                                    
      2        40    .0198565       **    **      ***         ***       *
> **      ***       ***      ***       ***      ***  
      3        40    .0080677                                            
>                                       **           
      4        40    .0117198                     ***          **        
> **                  *                           *  
      5        40    .0151095        *     *                             
>                                        *        *  
      6        40   -.0099959                                            
>                                                    
      7        40    .0026909                                            
>                                                    
      8        40   -.0004228                                            
>                                                    
      9        40   -.0030996                                            
>                                                    
     10        40   -.0040827                                            
>                                                    

           t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ   
> Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   Wi
> lcox  
      [-2;0]        40    .0021087                     ***           *   
>      **                                                                
>       
     [-3;-1]        40   -.0082282                       *               
>                                                                        
>       
     [-4;-2]        40    .0027641                                       
>                                                                        
>       
     [-5;-3]        40   -.0022607                                       
>                                                                        
>       
     [-6;-4]        40   -.0079885                                       
>                                                                        
>       
     [-7;-5]        40   -.0043781                                       
>                                                                        
>       
     [-8;-6]        40   -.0036823                                       
>                                                                        
>       
     [-9;-7]        40    .0093726                                       
>                                                                        
>       
    [-10;-8]        40     .019027                      **               
>       *                                                          *     
>    *  
    [-11;-9]        40    .0247426       **     *      ***          **   
>     ***       **              **             **       ***      ***     
>  ***  
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  aarfile
Cumulative average abnormal returns:  Car_Diag_Negot_MinGR_top8Xtile_Excl
> 491
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Negot_MinGR_top8Xtile_Excl4
> 91
Logfile:  Diag_Negot_MinGR_top8Xtile_Excl491

. 
. use "List_US_MinGR_top8Xtile_Excl491.dta", clear

. 
. eventstudy3 ISIN Date using Returns_US_MinGR_top8Xtile_Excl491, returns
> (Return_Unadj) /// 
> car1LB(-12) car1UB(-10) car2LB(-13) car2UB(-11) car3LB(-14) car3UB(-12)
>  car4LB(-15) car4UB(-13) car5LB(-16) car5UB(-14) ///
> car6LB(-17) car6UB(-15) car7LB(-18) car7UB(-16) car8LB(-19) car8UB(-17)
>  car9LB(-20) car9UB(-18)  ///
> evwlb(-20)  evwub(10) eswlb(-121) eswub(-21) mod(FM) logreturns ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> garch archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_Pre_MinGR_top8Xtile_Excl491) carfile(Car_Diag_Pre_
> MinGR_top8Xtile_Excl491) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 40 events completed.
2 out of 40 events completed.
3 out of 40 events completed.
4 out of 40 events completed.
5 out of 40 events completed.
6 out of 40 events completed.
7 out of 40 events completed.
8 out of 40 events completed.
9 out of 40 events completed.
10 out of 40 events completed.
11 out of 40 events completed.
12 out of 40 events completed.
13 out of 40 events completed.
14 out of 40 events completed.
15 out of 40 events completed.
16 out of 40 events completed.
17 out of 40 events completed.
18 out of 40 events completed.
19 out of 40 events completed.
20 out of 40 events completed.
21 out of 40 events completed.
22 out of 40 events completed.
23 out of 40 events completed.
24 out of 40 events completed.
25 out of 40 events completed.
26 out of 40 events completed.
27 out of 40 events completed.
28 out of 40 events completed.
29 out of 40 events completed.
30 out of 40 events completed.
31 out of 40 events completed.
32 out of 40 events completed.
33 out of 40 events completed.
34 out of 40 events completed.
35 out of 40 events completed.
36 out of 40 events completed.
37 out of 40 events completed.
38 out of 40 events completed.
39 out of 40 events completed.
40 out of 40 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded

Warning: Some CAR window definitions (options carXLB and carXUB) have bee
> n changed because they were outside the event window.

Number of events in the event file: 40
-- thereof: Number of events for which security identifiers and event dat
> es are available: 40
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 40
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 40

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        40    .0061571                                            
>                                                    
    -19        40    .0023514                                            
>                                                    
    -18        40   -.0136224        *     *      ***          **       *
> **       **        **       **        **      ***  
    -17        40   -.0019634                                            
>                                                    
    -16        40    .0055082                       *                    
> **                                    **        *  
    -15        40    .0004398                                            
>                                                    
    -14        40    .0098275                                            
>                                                    
    -13        40    -.002635                                            
>                                                    
    -12        40     .003201                                            
>                                                    
    -11        40    .0032274                                            
>  *                                                 
    -10        40    .0154221        *     *      ***           *        
> **        *         *        *        **       **  
     -9        40    .0060931                                            
>                                                    
     -8        40   -.0024882                                            
>                                                    
     -7        40    .0057677                                            
>                                                    
     -6        40   -.0069617                                            
>  *                                                 
     -5        40   -.0031841                                            
>                                                    
     -4        40    .0021573                                            
>                                                    
     -3        40    -.001234                                            
>                                                    
     -2        40    .0018408                       *                    
>                                                    
     -1        40    -.008835                                            
>                                                    
      0        40     .009103                                            
>                                                 *  
      1        40    .0024385                                            
>                                                    
      2        40    .0198565       **    **      ***         ***       *
> **      ***       ***      ***       ***      ***  
      3        40    .0080677                                            
>                                       **           
      4        40    .0117198                     ***          **        
> **                  *                           *  
      5        40    .0151095        *     *                             
>                                        *        *  
      6        40   -.0099959                                            
>                                                    
      7        40    .0026909                                            
>                                                    
      8        40   -.0004228                                            
>                                                    
      9        40   -.0030996                                            
>                                                    
     10        40   -.0040827                                            
>                                                    

            t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ  
>  Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   W
> ilcox  
    [-12;-10]        40    .0218505        *            ***          **  
>      ***       **              **             **       ***       **    
>    **  
    [-13;-11]        40    .0037935                                      
>                                                                        
>        
    [-14;-12]        40    .0103936                                      
>                                                                        
>        
    [-15;-13]        40    .0076324                                      
>                                                          *             
>        
    [-16;-14]        40    .0157755                     ***           *  
>        *                                                          *    
>        
    [-17;-15]        40    .0039847                       *              
>        *                                                 *        *    
>        
    [-18;-16]        40   -.0100776                       *              
>        *                                                         **    
>        
    [-19;-17]        40   -.0132343                                      
>                                                                        
>     *  
    [-20;-18]        40   -.0051139                                      
>                                                                        
>        
     [-20;10]        40    .0724545        *            ***          **  
>        *                        *              *        **             
>    **  
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  aarfile
Cumulative average abnormal returns:  Car_Diag_Pre_MinGR_top8Xtile_Excl49
> 1
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Pre_MinGR_top8Xtile_Excl491
Logfile:  Diag_Pre_MinGR_top8Xtile_Excl491

. 
. // merge dataset
. 
. use "Car_Diag_Pre_MinGR_top8Xtile_Excl491.dta", clear

. 
. drop if _n==10
(1 observation deleted)

. 
. mmerge t using "Car_Diag_Negot_MinGR_top8Xtile_Excl491", type(1:1) miss
> ing(nomatch) 

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_Pre_MinGR_top8Xtile_Excl491.dta
                 obs |      9
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_Negot_MinGR_top8Xtile_Excl491.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_Pre_MinGR_top8Xtile_Excl491.dta
                 obs |     19
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |      9  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. mmerge t using "Car_Diag_Post_MinGR_top8Xtile_Excl491", type(1:1) missi
> ng(nomatch)

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_Pre_MinGR_top8Xtile_Excl491.dta
                 obs |     19
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_Post_MinGR_top8Xtile_Excl491.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_Pre_MinGR_top8Xtile_Excl491.dta
                 obs |     29
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |     19  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. 
. gen tNum = ""
(29 missing values generated)

. replace tNum = usubstr(t, 1, ustrpos(t, ";") - 1)
variable tNum was str1 now str4
(29 real changes made)

. replace tNum = subinstr(tNum, "[", "",.) 
(29 real changes made)

. destring tNum, replace
tNum: all characters numeric; replaced as byte

. replace tNum = tNum+1
(29 real changes made)

. 
. order tNum, after(t)

. 
. replace CAARE = CAARE * 100
(29 real changes made)

. 
. gen CILB = CAARE - 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. gen CIUB = CAARE + 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. 
. gen CILB90 = CAARE - 1.645*(abs(CAARE/NCAARECorrado_Cowan))

. gen CIUB90 = CAARE + 1.645*(abs(CAARE/NCAARECorrado_Cowan))

. 
. sort tNum

. 
. replace CILB = -5 if CILB<-5
(7 real changes made)

. replace CILB90 = -5 if CILB90<-5
(6 real changes made)

. replace CIUB = 20 if CIUB > 20
(0 real changes made)

. replace CIUB90 = 20 if CIUB90>20
(0 real changes made)

. 
. twoway line CAARE tNum, lcolor(red) lwidth(medthick) ///
> yscale(range(-5(5)20)) ylabel(-5(5)20) ///
> xlabel(-20(2)10) ///
> graphregion(color(white)) ///
> xtitle("Trading day to/from Monday 14/12/2015") ytitle("CAAR (in %)") /
> //
> legend(off) ///
> xline(-10, lcolor(black)) xline(0, lcolor(black)) ///
> yline(0, lcolor(black)) ///
> text(18 -15 "Pre-negotiation") ///
> text(18 -6 "Negotiation") ///
> text(18 5 "Post-negotiation") ///
> || rcap CILB CIUB tNum, lcolor(blue) ///
> || rcap CILB90 CIUB90 tNum

. 
. graph export "${result}FigE2.pdf", replace
(file /Users/myramohnen/Dropbox/EventStudy_Paris/JAERE/ConditionalAccept/
> RESULTS/FigE2.pdf written in PDF format)

. 
. /*=====================================================================
> =========*/
. /* Figure E3. Event path for green firms excluding public utilities SIC
>  49 */ 
. /*=====================================================================
> =========*/
. 
. use "List_US_MinGR_top8Xtile_Excl49.dta", clear

. 
. eventstudy3 ISIN Date using Returns_US_MinGR_top8Xtile_Excl49, returns(
> Return_Unadj) /// 
> car1LB(-1) car1UB(1) car2LB(0) car2UB(2) car3LB(1) car3UB(3) car4LB(2) 
> car4UB(4) car5LB(3) car5UB(5) ///
> car6LB(4) car6UB(6) car7LB(5) car7UB(7) car8LB(6) car8UB(8) car9LB(7) c
> ar9UB(9) car10LB(8) car10UB(10) ///
> evwlb(-20)  evwub(10) eswlb(-121) eswub(-21) mod(FM) logreturns ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> garch archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_Post_MinGR_top8Xtile_Excl49) carfile(Car_Diag_Post
> _MinGR_top8Xtile_Excl49) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 38 events completed.
2 out of 38 events completed.
3 out of 38 events completed.
4 out of 38 events completed.
5 out of 38 events completed.
6 out of 38 events completed.
7 out of 38 events completed.
8 out of 38 events completed.
9 out of 38 events completed.
10 out of 38 events completed.
11 out of 38 events completed.
12 out of 38 events completed.
13 out of 38 events completed.
14 out of 38 events completed.
15 out of 38 events completed.
16 out of 38 events completed.
17 out of 38 events completed.
18 out of 38 events completed.
19 out of 38 events completed.
20 out of 38 events completed.
21 out of 38 events completed.
22 out of 38 events completed.
23 out of 38 events completed.
24 out of 38 events completed.
25 out of 38 events completed.
26 out of 38 events completed.
27 out of 38 events completed.
28 out of 38 events completed.
29 out of 38 events completed.
30 out of 38 events completed.
31 out of 38 events completed.
32 out of 38 events completed.
33 out of 38 events completed.
34 out of 38 events completed.
35 out of 38 events completed.
36 out of 38 events completed.
37 out of 38 events completed.
38 out of 38 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded


Number of events in the event file: 38
-- thereof: Number of events for which security identifiers and event dat
> es are available: 38
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 38
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 38

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        38    .0080604                                            
>                                                    
    -19        38    .0007784                                            
>                                                    
    -18        38   -.0104114                       *                    
> **                                              *  
    -17        38    .0003803                                            
>                                                    
    -16        38    .0096441                      **                    
>  *                                                 
    -15        38   -.0050255                                            
>                                                    
    -14        38    .0091116                                            
>                                        *           
    -13        38    -.003004                                            
>                                                    
    -12        38    .0035275                                            
>  *                                                 
    -11        38     .005298                                            
>                                                    
    -10        38    .0130691                      **                    
> **                                              *  
     -9        38    .0148288                       *                   *
> **        *         *       **        **      ***  
     -8        38    .0031446                                            
>                                                    
     -7        38    .0102375                       *                    
> **        *                                     *  
     -6        38   -.0064391                       *                    
> **                                              *  
     -5        38     .002865                                            
>                                                    
     -4        38    -.006104                                            
>                                                    
     -3        38    .0042286                                            
>                                       **           
     -2        38    .0025577                                            
>                                                    
     -1        38    .0645337      ***   ***       **                    
>                                                    
      0        38    .0129223                                            
>                                                 *  
      1        38     .002786                                            
>                                                    
      2        38    .0288171      ***   ***      ***         ***       *
> **       **        **        *        **       **  
      3        38    .0158775                                            
>                                        *        *  
      4        38    .0148538                       *                    
>  *                                     *       **  
      5        38    .0152966                      **                    
> **                                                 
      6        38   -.0165729                                            
>                     *        *         *      ***  
      7        38   -.0014537                                            
>                                                    
      8        38   -.0022091                                            
>                                                    
      9        38   -.0061524                                            
>                                                    
     10        38   -.0061382                                            
>                                                    

         t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ   Bo
> ehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   Wilc
> ox  
    [-1;1]        38    .0802421      ***   ***      ***          **     
>                                                                        
>     
     [0;2]        38    .0445254      ***    **      ***         ***     
>    **                                                 *       **       
> **  
     [1;3]        38    .0474806      ***    **      ***         ***     
>    **                                                **                
> **  
     [2;4]        38    .0595483      ***   ***      ***         ***     
>   ***       **             ***             **       ***      ***      *
> **  
     [3;5]        38    .0460278      ***    **      ***          **     
>    **                       **             **        **       **      *
> **  
     [4;6]        38    .0135775                     ***           *     
>    **                                                         **       
>     
     [5;7]        38     -.00273                                         
>                                                                        
>     
     [6;8]        38   -.0202357                       *                 
>     *                                                 *       **       
> **  
     [7;9]        38   -.0098152                                         
>    **                                                         **       
>     
    [8;10]        38   -.0144997                                         
>                                                      **                
>     
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  aarfile
Cumulative average abnormal returns:  Car_Diag_Post_MinGR_top8Xtile_Excl4
> 9
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Post_MinGR_top8Xtile_Excl49
Logfile:  Diag_Post_MinGR_top8Xtile_Excl49

. 
. use "List_US_MinGR_top8Xtile_Excl49.dta", clear

. 
. eventstudy3 ISIN Date using Returns_US_MinGR_top8Xtile_Excl49, returns(
> Return_Unadj) /// 
> car1LB(-2) car1UB(0) car2LB(-3) car2UB(-1) car3LB(-4) car3UB(-2) car4LB
> (-5) car4UB(-3) car5LB(-6) car5UB(-4) ///
> car6LB(-7) car6UB(-5) car7LB(-8) car7UB(-6) car8LB(-9) car8UB(-7) car9L
> B(-10) car9UB(-8) car10LB(-11) car10UB(-9)  ///
> evwlb(-20)  evwub(10) eswlb(-121) eswub(-21) mod(FM) logreturns ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> garch archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_Negot_MinGR_top8Xtile_Excl49) carfile(Car_Diag_Neg
> ot_MinGR_top8Xtile_Excl49) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 38 events completed.
2 out of 38 events completed.
3 out of 38 events completed.
4 out of 38 events completed.
5 out of 38 events completed.
6 out of 38 events completed.
7 out of 38 events completed.
8 out of 38 events completed.
9 out of 38 events completed.
10 out of 38 events completed.
11 out of 38 events completed.
12 out of 38 events completed.
13 out of 38 events completed.
14 out of 38 events completed.
15 out of 38 events completed.
16 out of 38 events completed.
17 out of 38 events completed.
18 out of 38 events completed.
19 out of 38 events completed.
20 out of 38 events completed.
21 out of 38 events completed.
22 out of 38 events completed.
23 out of 38 events completed.
24 out of 38 events completed.
25 out of 38 events completed.
26 out of 38 events completed.
27 out of 38 events completed.
28 out of 38 events completed.
29 out of 38 events completed.
30 out of 38 events completed.
31 out of 38 events completed.
32 out of 38 events completed.
33 out of 38 events completed.
34 out of 38 events completed.
35 out of 38 events completed.
36 out of 38 events completed.
37 out of 38 events completed.
38 out of 38 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded


Number of events in the event file: 38
-- thereof: Number of events for which security identifiers and event dat
> es are available: 38
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 38
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 38

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        38    .0080604                                            
>                                                    
    -19        38    .0007784                                            
>                                                    
    -18        38   -.0104114                       *                    
> **                                              *  
    -17        38    .0003803                                            
>                                                    
    -16        38    .0096441                      **                    
>  *                                                 
    -15        38   -.0050255                                            
>                                                    
    -14        38    .0091116                                            
>                                        *           
    -13        38    -.003004                                            
>                                                    
    -12        38    .0035275                                            
>  *                                                 
    -11        38     .005298                                            
>                                                    
    -10        38    .0130691                      **                    
> **                                              *  
     -9        38    .0148288                       *                   *
> **        *         *       **        **      ***  
     -8        38    .0031446                                            
>                                                    
     -7        38    .0102375                       *                    
> **        *                                     *  
     -6        38   -.0064391                       *                    
> **                                              *  
     -5        38     .002865                                            
>                                                    
     -4        38    -.006104                                            
>                                                    
     -3        38    .0042286                                            
>                                       **           
     -2        38    .0025577                                            
>                                                    
     -1        38    .0645337      ***   ***       **                    
>                                                    
      0        38    .0129223                                            
>                                                 *  
      1        38     .002786                                            
>                                                    
      2        38    .0288171      ***   ***      ***         ***       *
> **       **        **        *        **       **  
      3        38    .0158775                                            
>                                        *        *  
      4        38    .0148538                       *                    
>  *                                     *       **  
      5        38    .0152966                      **                    
> **                                                 
      6        38   -.0165729                                            
>                     *        *         *      ***  
      7        38   -.0014537                                            
>                                                    
      8        38   -.0022091                                            
>                                                    
      9        38   -.0061524                                            
>                                                    
     10        38   -.0061382                                            
>                                                    

           t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ   
> Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   Wi
> lcox  
      [-2;0]        38    .0800138      ***   ***       **               
>                                                        **              
>       
     [-3;-1]        38      .07132      ***   ***        *               
>                                                                        
>       
     [-4;-2]        38    .0006823                                       
>                                                                        
>       
     [-5;-3]        38    .0009896                                       
>                                                                        
>       
     [-6;-4]        38   -.0096781                      **               
>       *                                                                
>       
     [-7;-5]        38    .0066634                                       
>                                                                        
>       
     [-8;-6]        38    .0069431                                       
>                                                                        
>       
     [-9;-7]        38    .0282109       **            ***          **   
>       *                       **             **        **       **     
>  ***  
    [-10;-8]        38    .0310425       **            ***          **   
>     ***        *              **             **         *       **     
>  ***  
    [-11;-9]        38    .0331958       **     *      ***          **   
>     ***      ***              **             **       ***      ***     
>  ***  
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  aarfile
Cumulative average abnormal returns:  Car_Diag_Negot_MinGR_top8Xtile_Excl
> 49
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Negot_MinGR_top8Xtile_Excl4
> 9
Logfile:  Diag_Negot_MinGR_top8Xtile_Excl49

. 
. 
. use "List_US_MinGR_top8Xtile_Excl49.dta", clear

. 
. eventstudy3 ISIN Date using Returns_US_MinGR_top8Xtile_Excl49, returns(
> Return_Unadj) /// 
> car1LB(-12) car1UB(-10) car2LB(-13) car2UB(-11) car3LB(-14) car3UB(-12)
>  car4LB(-15) car4UB(-13) car5LB(-16) car5UB(-14) ///
> car6LB(-17) car6UB(-15) car7LB(-18) car7UB(-16) car8LB(-19) car8UB(-17)
>  car9LB(-20) car9UB(-18)  ///
> evwlb(-20)  evwub(10) eswlb(-121) eswub(-21) mod(FM) logreturns ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> garch archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_Pre_MinGR_top8Xtile_Excl49) carfile(Car_Diag_Pre_M
> inGR_top8Xtile_Excl49) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 38 events completed.
2 out of 38 events completed.
3 out of 38 events completed.
4 out of 38 events completed.
5 out of 38 events completed.
6 out of 38 events completed.
7 out of 38 events completed.
8 out of 38 events completed.
9 out of 38 events completed.
10 out of 38 events completed.
11 out of 38 events completed.
12 out of 38 events completed.
13 out of 38 events completed.
14 out of 38 events completed.
15 out of 38 events completed.
16 out of 38 events completed.
17 out of 38 events completed.
18 out of 38 events completed.
19 out of 38 events completed.
20 out of 38 events completed.
21 out of 38 events completed.
22 out of 38 events completed.
23 out of 38 events completed.
24 out of 38 events completed.
25 out of 38 events completed.
26 out of 38 events completed.
27 out of 38 events completed.
28 out of 38 events completed.
29 out of 38 events completed.
30 out of 38 events completed.
31 out of 38 events completed.
32 out of 38 events completed.
33 out of 38 events completed.
34 out of 38 events completed.
35 out of 38 events completed.
36 out of 38 events completed.
37 out of 38 events completed.
38 out of 38 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded

Warning: Some CAR window definitions (options carXLB and carXUB) have bee
> n changed because they were outside the event window.

Number of events in the event file: 38
-- thereof: Number of events for which security identifiers and event dat
> es are available: 38
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 38
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 38

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        38    .0080604                                            
>                                                    
    -19        38    .0007784                                            
>                                                    
    -18        38   -.0104114                       *                    
> **                                              *  
    -17        38    .0003803                                            
>                                                    
    -16        38    .0096441                      **                    
>  *                                                 
    -15        38   -.0050255                                            
>                                                    
    -14        38    .0091116                                            
>                                        *           
    -13        38    -.003004                                            
>                                                    
    -12        38    .0035275                                            
>  *                                                 
    -11        38     .005298                                            
>                                                    
    -10        38    .0130691                      **                    
> **                                              *  
     -9        38    .0148288                       *                   *
> **        *         *       **        **      ***  
     -8        38    .0031446                                            
>                                                    
     -7        38    .0102375                       *                    
> **        *                                     *  
     -6        38   -.0064391                       *                    
> **                                              *  
     -5        38     .002865                                            
>                                                    
     -4        38    -.006104                                            
>                                                    
     -3        38    .0042286                                            
>                                       **           
     -2        38    .0025577                                            
>                                                    
     -1        38    .0645337      ***   ***       **                    
>                                                    
      0        38    .0129223                                            
>                                                 *  
      1        38     .002786                                            
>                                                    
      2        38    .0288171      ***   ***      ***         ***       *
> **       **        **        *        **       **  
      3        38    .0158775                                            
>                                        *        *  
      4        38    .0148538                       *                    
>  *                                     *       **  
      5        38    .0152966                      **                    
> **                                                 
      6        38   -.0165729                                            
>                     *        *         *      ***  
      7        38   -.0014537                                            
>                                                    
      8        38   -.0022091                                            
>                                                    
      9        38   -.0061524                                            
>                                                    
     10        38   -.0061382                                            
>                                                    

            t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ  
>  Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   W
> ilcox  
    [-12;-10]        38    .0218945                     ***          **  
>      ***       **               *              *        **        *    
>    **  
    [-13;-11]        38    .0058215                                      
>                                                                        
>        
    [-14;-12]        38    .0096351                       *              
>                                                                        
>        
    [-15;-13]        38    .0010821                                      
>                                                                   *    
>        
    [-16;-14]        38    .0137302                       *              
>                                                                        
>        
    [-17;-15]        38    .0049989                                      
>                                                                        
>        
    [-18;-16]        38    -.000387                                      
>                                                                        
>        
    [-19;-17]        38   -.0092526                                      
>                                                                        
>        
    [-20;-18]        38   -.0015726                                      
>                                                                        
>        
     [-20;10]        38    .1793083      ***   ***      ***         ***  
>       **                        *                       **             
>    **  
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  aarfile
Cumulative average abnormal returns:  Car_Diag_Pre_MinGR_top8Xtile_Excl49
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Pre_MinGR_top8Xtile_Excl49
Logfile:  Diag_Pre_MinGR_top8Xtile_Excl49

. 
. use "Car_Diag_Pre_MinGR_top8Xtile_Excl49", clear

. 
. drop if _n==10
(1 observation deleted)

. 
. mmerge t using "Car_Diag_Negot_MinGR_top8Xtile_Excl49", type(1:1) missi
> ng(nomatch) 

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_Pre_MinGR_top8Xtile_Excl49.dta
                 obs |      9
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_Negot_MinGR_top8Xtile_Excl49.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_Pre_MinGR_top8Xtile_Excl49.dta
                 obs |     19
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |      9  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. mmerge t using "Car_Diag_Post_MinGR_top8Xtile_Excl49", type(1:1) missin
> g(nomatch)

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_Pre_MinGR_top8Xtile_Excl49.dta
                 obs |     19
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_Post_MinGR_top8Xtile_Excl49.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_Pre_MinGR_top8Xtile_Excl49.dta
                 obs |     29
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |     19  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. 
. gen tNum = ""
(29 missing values generated)

. replace tNum = usubstr(t, 1, ustrpos(t, ";") - 1)
variable tNum was str1 now str4
(29 real changes made)

. replace tNum = subinstr(tNum, "[", "",.) 
(29 real changes made)

. destring tNum, replace
tNum: all characters numeric; replaced as byte

. replace tNum = tNum+1
(29 real changes made)

. 
. order tNum, after(t)

. 
. replace CAARE = CAARE * 100
(29 real changes made)

. 
. gen CILB = CAARE - 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. gen CIUB = CAARE + 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. gen CILB90 = CAARE - 1.645*(abs(CAARE/NCAARECorrado_Cowan))

. gen CIUB90 = CAARE + 1.645*(abs(CAARE/NCAARECorrado_Cowan))

. 
. replace CIUB = 30 if CIUB>30
(2 real changes made)

. replace CILB = -10 if CILB<-10
(3 real changes made)

. replace CIUB90 = 30 if CIUB90>30
(1 real change made)

. replace CILB90 = -10 if CILB90<-10
(2 real changes made)

. 
. sort tNum

. 
. twoway line CAARE tNum, lcolor(red) lwidth(medthick) ///
> yscale(range(-10(10)30)) ylabel(-10(10)30) ///
> xlabel(-20(2)10) ///
> graphregion(color(white)) ///
> xtitle("Trading day to/from Monday 14/12/2015") ytitle("CAAR (in %)") /
> //
> legend(off) ///
> xline(-10, lcolor(black)) xline(0, lcolor(black)) ///
> yline(0, lcolor(black)) ///
> text(18 -15 "Pre-negotiation") ///
> text(18 -6 "Negotiation") ///
> text(18 5 "Post-negotiation") ///
> || rcap CILB CIUB tNum, lcolor(blue) ///
> || rcap CILB90 CIUB90 tNum

. 
. graph export "${result}FigE3.pdf", replace
(file /Users/myramohnen/Dropbox/EventStudy_Paris/JAERE/ConditionalAccept/
> RESULTS/FigE3.pdf written in PDF format)

. 
. /*=====================================================================
> =========*/
. /* Figures E4a, E5a, E6a : Results for BMP, KP test statistics and AARs
>  */
. /* Top 30% */
. /*=====================================================================
> =========*/
. 
. use "List_US_MinGR_top8Xtile.dta", clear

. 
. eventstudy3 ISIN Date using Returns_US_MinGR_top8Xtile, returns(Return_
> Unadj) /// 
> mod(FM) /// Fama French model 
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) /// factors
> riskfreerate(RFNum) /// risk free 
> evwlb(-20) /// event window lower bound
> evwub(10) /// event window upper bound 
> eswlb(-121) /// estimation window lower bound 
> eswub(-21) /// estimation window upper bound 
> logreturns /// log returns
> car1LB(-12) car1UB(-10) /// CAR window 1 bounds
> car2LB(-13) car2UB(-11) /// CAR window 2 bounds
> car3LB(-14) car3UB(-12) /// CAR window 3 bounds
> car4LB(-15) car4UB(-13) /// CAR window 4 bounds
> car5LB(-16) car5UB(-14) /// CAR window 5 bounds
> car6LB(-17) car6UB(-15) /// CAR window 6 bounds
> car7LB(-18) car7UB(-16) /// CAR window 7 bounds
> car8LB(-19) car8UB(-17) /// CAR window 8 bounds
> car9LB(-20) car9UB(-18) /// CAR window 9 bounds
> garch archoption(1) garchoption(1) /// ARCH option GARCH option
> diagnosticsfile(Diag_Pre_MinGR_top8Xtile) /// output diagnostic 
> carfile(Car_Diag_Pre_MinGR_top8Xtile) /// output cumulative average abn
> ormal return file
> aarfile(AAR_pre) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 63 events completed.
2 out of 63 events completed.
3 out of 63 events completed.
4 out of 63 events completed.
5 out of 63 events completed.
6 out of 63 events completed.
7 out of 63 events completed.
8 out of 63 events completed.
9 out of 63 events completed.
10 out of 63 events completed.
11 out of 63 events completed.
12 out of 63 events completed.
13 out of 63 events completed.
14 out of 63 events completed.
15 out of 63 events completed.
16 out of 63 events completed.
17 out of 63 events completed.
18 out of 63 events completed.
19 out of 63 events completed.
20 out of 63 events completed.
21 out of 63 events completed.
22 out of 63 events completed.
23 out of 63 events completed.
24 out of 63 events completed.
25 out of 63 events completed.
26 out of 63 events completed.
27 out of 63 events completed.
28 out of 63 events completed.
29 out of 63 events completed.
30 out of 63 events completed.
31 out of 63 events completed.
32 out of 63 events completed.
33 out of 63 events completed.
34 out of 63 events completed.
35 out of 63 events completed.
36 out of 63 events completed.
37 out of 63 events completed.
38 out of 63 events completed.
39 out of 63 events completed.
40 out of 63 events completed.
41 out of 63 events completed.
42 out of 63 events completed.
43 out of 63 events completed.
44 out of 63 events completed.
45 out of 63 events completed.
46 out of 63 events completed.
47 out of 63 events completed.
48 out of 63 events completed.
49 out of 63 events completed.
50 out of 63 events completed.
51 out of 63 events completed.
52 out of 63 events completed.
53 out of 63 events completed.
54 out of 63 events completed.
55 out of 63 events completed.
56 out of 63 events completed.
57 out of 63 events completed.
58 out of 63 events completed.
59 out of 63 events completed.
60 out of 63 events completed.
61 out of 63 events completed.
62 out of 63 events completed.
63 out of 63 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded

Warning: Some CAR window definitions (options carXLB and carXUB) have bee
> n changed because they were outside the event window.

Number of events in the event file: 63
-- thereof: Number of events for which security identifiers and event dat
> es are available: 63
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 63
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 63

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        63     .008873                                            
>                                                    
    -19        63    .0000798                                            
>                                                    
    -18        63   -.0235109      ***   ***      ***         ***       *
> **       **        **       **       ***      ***  
    -17        63    -.005471                                            
>                                                    
    -16        63    .0024118                       *                    
>                                        *           
    -15        63   -.0004288                                            
>                                                    
    -14        63    .0034991                                            
>                                       **           
    -13        63   -.0015094                                            
>                                                    
    -12        63   -.0063132                                            
>                                                    
    -11        63    .0035549                                            
> **                                     *        *  
    -10        63    .0066933                       *                    
> **                                                 
     -9        63    .0168797       **     *       **                    
> **                                    **      ***  
     -8        63    .0046158                                            
>                                                    
     -7        63    .0045394                                            
>                                                 *  
     -6        63   -.0079443                       *                    
> **                                             **  
     -5        63      .00137                                            
>                                                    
     -4        63    .0013938                                            
>                                                    
     -3        63     .015141        *     *       **                    
>  *                                    **       **  
     -2        63     .000316                                            
>                                                    
     -1        63    .0467067      ***   ***       **                    
>                                                    
      0        63    .0131482        *             **                    
> **                                    **      ***  
      1        63    .0106156                       *                    
>  *                                                 
      2        63    .0270705      ***   ***      ***         ***       *
> **      ***       ***      ***       ***      ***  
      3        63    .0148925        *     *       **                    
>  *                                    **       **  
      4        63    .0172998       **     *      ***         ***       *
> **       **        **       **        **      ***  
      5        63    .0060397                                            
>                                                    
      6        63   -.0156303       **     *                             
>                                               ***  
      7        63   -.0079434                                            
>                                       **           
      8        63     -.00098                                            
>                                                    
      9        63    .0028723                       *                    
> **                                                 
     10        63    -.004582                                            
>                                                    

            t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ  
>  Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   W
> ilcox  
    [-12;-10]        63     .003935                       *              
>                                                                        
>        
    [-13;-11]        63   -.0042677                                      
>                                                                        
>        
    [-14;-12]        63   -.0043235                                      
>                                                                        
>        
    [-15;-13]        63     .001561                                      
>                                                                        
>        
    [-16;-14]        63    .0054821                      **              
>                                                                        
>        
    [-17;-15]        63    -.003488                                      
>                                                                        
>        
    [-18;-16]        63   -.0265701       **     *      ***          **  
>       **                                                               
>    **  
    [-19;-17]        63   -.0289021       **     *      ***          **  
>       **                                                               
>   ***  
    [-20;-18]        63   -.0145581                                      
>                                                                        
>        
     [-20;10]        63    .1336993      ***   ***      ***         ***  
>       **                       **              *       ***       **    
>   ***  
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  AAR_pre
Cumulative average abnormal returns:  Car_Diag_Pre_MinGR_top8Xtile
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Pre_MinGR_top8Xtile
Logfile:  Diag_Pre_MinGR_top8Xtile

. 
. use "List_US_MinGR_top8Xtile.dta", clear

. 
. eventstudy3 ISIN Date using Returns_US_MinGR_top8Xtile, returns(Return_
> Unadj) /// 
> mod(FM) ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> evwlb(-20) evwub(10) ///
> eswlb(-121) eswub(-21) ///
> logreturns ///
> car1LB(-2) car1UB(0) ///
> car2LB(-3) car2UB(-1) ///
> car3LB(-4) car3UB(-2) ///
> car4LB(-5) car4UB(-3) ///
> car5LB(-6) car5UB(-4) ///
> car6LB(-7) car6UB(-5) ///
> car7LB(-8) car7UB(-6) ///
> car8LB(-9) car8UB(-7) ///
> car9LB(-10) car9UB(-8) ///
> car10LB(-11) car10UB(-9) ///
> garch archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_Neg_MinGR_top8Xtile) ///
> carfile(Car_Diag_Neg_MinGR_top8Xtile) ///
> aarfile(AAR_neg) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 63 events completed.
2 out of 63 events completed.
3 out of 63 events completed.
4 out of 63 events completed.
5 out of 63 events completed.
6 out of 63 events completed.
7 out of 63 events completed.
8 out of 63 events completed.
9 out of 63 events completed.
10 out of 63 events completed.
11 out of 63 events completed.
12 out of 63 events completed.
13 out of 63 events completed.
14 out of 63 events completed.
15 out of 63 events completed.
16 out of 63 events completed.
17 out of 63 events completed.
18 out of 63 events completed.
19 out of 63 events completed.
20 out of 63 events completed.
21 out of 63 events completed.
22 out of 63 events completed.
23 out of 63 events completed.
24 out of 63 events completed.
25 out of 63 events completed.
26 out of 63 events completed.
27 out of 63 events completed.
28 out of 63 events completed.
29 out of 63 events completed.
30 out of 63 events completed.
31 out of 63 events completed.
32 out of 63 events completed.
33 out of 63 events completed.
34 out of 63 events completed.
35 out of 63 events completed.
36 out of 63 events completed.
37 out of 63 events completed.
38 out of 63 events completed.
39 out of 63 events completed.
40 out of 63 events completed.
41 out of 63 events completed.
42 out of 63 events completed.
43 out of 63 events completed.
44 out of 63 events completed.
45 out of 63 events completed.
46 out of 63 events completed.
47 out of 63 events completed.
48 out of 63 events completed.
49 out of 63 events completed.
50 out of 63 events completed.
51 out of 63 events completed.
52 out of 63 events completed.
53 out of 63 events completed.
54 out of 63 events completed.
55 out of 63 events completed.
56 out of 63 events completed.
57 out of 63 events completed.
58 out of 63 events completed.
59 out of 63 events completed.
60 out of 63 events completed.
61 out of 63 events completed.
62 out of 63 events completed.
63 out of 63 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded


Number of events in the event file: 63
-- thereof: Number of events for which security identifiers and event dat
> es are available: 63
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 63
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 63

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        63     .008873                                            
>                                                    
    -19        63    .0000798                                            
>                                                    
    -18        63   -.0235109      ***   ***      ***         ***       *
> **       **        **       **       ***      ***  
    -17        63    -.005471                                            
>                                                    
    -16        63    .0024118                       *                    
>                                        *           
    -15        63   -.0004288                                            
>                                                    
    -14        63    .0034991                                            
>                                       **           
    -13        63   -.0015094                                            
>                                                    
    -12        63   -.0063132                                            
>                                                    
    -11        63    .0035549                                            
> **                                     *        *  
    -10        63    .0066933                       *                    
> **                                                 
     -9        63    .0168797       **     *       **                    
> **                                    **      ***  
     -8        63    .0046158                                            
>                                                    
     -7        63    .0045394                                            
>                                                 *  
     -6        63   -.0079443                       *                    
> **                                             **  
     -5        63      .00137                                            
>                                                    
     -4        63    .0013938                                            
>                                                    
     -3        63     .015141        *     *       **                    
>  *                                    **       **  
     -2        63     .000316                                            
>                                                    
     -1        63    .0467067      ***   ***       **                    
>                                                    
      0        63    .0131482        *             **                    
> **                                    **      ***  
      1        63    .0106156                       *                    
>  *                                                 
      2        63    .0270705      ***   ***      ***         ***       *
> **      ***       ***      ***       ***      ***  
      3        63    .0148925        *     *       **                    
>  *                                    **       **  
      4        63    .0172998       **     *      ***         ***       *
> **       **        **       **        **      ***  
      5        63    .0060397                                            
>                                                    
      6        63   -.0156303       **     *                             
>                                               ***  
      7        63   -.0079434                                            
>                                       **           
      8        63     -.00098                                            
>                                                    
      9        63    .0028723                       *                    
> **                                                 
     10        63    -.004582                                            
>                                                    

           t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ   
> Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   Wi
> lcox  
      [-2;0]        63    .0601708      ***   ***        *               
>                                                        **              
>   **  
     [-3;-1]        63    .0621636      ***   ***      ***           *   
>                                                                        
>   **  
     [-4;-2]        63    .0168507                       *               
>                                                                        
>    *  
     [-5;-3]        63    .0179048                       *               
>                                                        **       **     
>   **  
     [-6;-4]        63   -.0051805                                       
>                                                                        
>       
     [-7;-5]        63   -.0020349                                       
>                                                                        
>       
     [-8;-6]        63    .0012109                                       
>                                                                        
>       
     [-9;-7]        63    .0260349       **     *      ***          **   
>      **                        *              *                        
>  ***  
    [-10;-8]        63    .0281888       **     *      ***          **   
>     ***        *               *              *        **       **     
>  ***  
    [-11;-9]        63    .0271278       **     *      ***          **   
>     ***      ***              **             **       ***      ***     
>  ***  
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  AAR_neg
Cumulative average abnormal returns:  Car_Diag_Neg_MinGR_top8Xtile
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Neg_MinGR_top8Xtile
Logfile:  Diag_Neg_MinGR_top8Xtile

. 
. use "List_US_MinGR_top8Xtile.dta", clear

. 
. eventstudy3 ISIN Date using Returns_US_MinGR_top8Xtile, returns(Return_
> Unadj) /// 
> mod(FM) ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> evwlb(-20)  evwub(10) ///
> eswlb(-121) eswub(-21) ///
> logreturns ///
> car1LB(-1) car1UB(1) ///
> car2LB(0) car2UB(2) ///
> car3LB(1) car3UB(3) ///
> car4LB(2) car4UB(4) ///
> car5LB(3) car5UB(5) ///
> car6LB(4) car6UB(6) ///
> car7LB(5) car7UB(7) ///
> car8LB(6) car8UB(8) ///
> car9LB(7) car9UB(9) ///
> car10LB(8) car10UB(10) ///
> garch archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_Post_MinGR_top8Xtile) ///
> carfile(Car_Diag_Post_MinGR_top8Xtile) ///
> aarfile(AAR_post) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 63 events completed.
2 out of 63 events completed.
3 out of 63 events completed.
4 out of 63 events completed.
5 out of 63 events completed.
6 out of 63 events completed.
7 out of 63 events completed.
8 out of 63 events completed.
9 out of 63 events completed.
10 out of 63 events completed.
11 out of 63 events completed.
12 out of 63 events completed.
13 out of 63 events completed.
14 out of 63 events completed.
15 out of 63 events completed.
16 out of 63 events completed.
17 out of 63 events completed.
18 out of 63 events completed.
19 out of 63 events completed.
20 out of 63 events completed.
21 out of 63 events completed.
22 out of 63 events completed.
23 out of 63 events completed.
24 out of 63 events completed.
25 out of 63 events completed.
26 out of 63 events completed.
27 out of 63 events completed.
28 out of 63 events completed.
29 out of 63 events completed.
30 out of 63 events completed.
31 out of 63 events completed.
32 out of 63 events completed.
33 out of 63 events completed.
34 out of 63 events completed.
35 out of 63 events completed.
36 out of 63 events completed.
37 out of 63 events completed.
38 out of 63 events completed.
39 out of 63 events completed.
40 out of 63 events completed.
41 out of 63 events completed.
42 out of 63 events completed.
43 out of 63 events completed.
44 out of 63 events completed.
45 out of 63 events completed.
46 out of 63 events completed.
47 out of 63 events completed.
48 out of 63 events completed.
49 out of 63 events completed.
50 out of 63 events completed.
51 out of 63 events completed.
52 out of 63 events completed.
53 out of 63 events completed.
54 out of 63 events completed.
55 out of 63 events completed.
56 out of 63 events completed.
57 out of 63 events completed.
58 out of 63 events completed.
59 out of 63 events completed.
60 out of 63 events completed.
61 out of 63 events completed.
62 out of 63 events completed.
63 out of 63 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded


Number of events in the event file: 63
-- thereof: Number of events for which security identifiers and event dat
> es are available: 63
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 63
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 63

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        63     .008873                                            
>                                                    
    -19        63    .0000798                                            
>                                                    
    -18        63   -.0235109      ***   ***      ***         ***       *
> **       **        **       **       ***      ***  
    -17        63    -.005471                                            
>                                                    
    -16        63    .0024118                       *                    
>                                        *           
    -15        63   -.0004288                                            
>                                                    
    -14        63    .0034991                                            
>                                       **           
    -13        63   -.0015094                                            
>                                                    
    -12        63   -.0063132                                            
>                                                    
    -11        63    .0035549                                            
> **                                     *        *  
    -10        63    .0066933                       *                    
> **                                                 
     -9        63    .0168797       **     *       **                    
> **                                    **      ***  
     -8        63    .0046158                                            
>                                                    
     -7        63    .0045394                                            
>                                                 *  
     -6        63   -.0079443                       *                    
> **                                             **  
     -5        63      .00137                                            
>                                                    
     -4        63    .0013938                                            
>                                                    
     -3        63     .015141        *     *       **                    
>  *                                    **       **  
     -2        63     .000316                                            
>                                                    
     -1        63    .0467067      ***   ***       **                    
>                                                    
      0        63    .0131482        *             **                    
> **                                    **      ***  
      1        63    .0106156                       *                    
>  *                                                 
      2        63    .0270705      ***   ***      ***         ***       *
> **      ***       ***      ***       ***      ***  
      3        63    .0148925        *     *       **                    
>  *                                    **       **  
      4        63    .0172998       **     *      ***         ***       *
> **       **        **       **        **      ***  
      5        63    .0060397                                            
>                                                    
      6        63   -.0156303       **     *                             
>                                               ***  
      7        63   -.0079434                                            
>                                       **           
      8        63     -.00098                                            
>                                                    
      9        63    .0028723                       *                    
> **                                                 
     10        63    -.004582                                            
>                                                    

         t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ   Bo
> ehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   Wilc
> ox  
    [-1;1]        63    .0704705      ***   ***      ***         ***     
>     *                        *                       **        *      *
> **  
     [0;2]        63    .0508343      ***   ***      ***         ***     
>   ***      ***             ***            ***       ***      ***      *
> **  
     [1;3]        63    .0525787      ***   ***      ***         ***     
>   ***      ***             ***            ***       ***      ***      *
> **  
     [2;4]        63    .0592628      ***   ***      ***         ***     
>   ***      ***             ***            ***       ***      ***      *
> **  
     [3;5]        63     .038232      ***    **      ***         ***     
>   ***       **             ***             **       ***      ***      *
> **  
     [4;6]        63    .0077091                     ***         ***     
>   ***       **                                               ***       
>     
     [5;7]        63    -.017534                                         
>                                                                        
>  *  
     [6;8]        63   -.0245537       **             **                 
>    **                                                **       **      *
> **  
     [7;9]        63   -.0060511                                         
>                                                                        
>     
    [8;10]        63   -.0026898                                         
>                                                                        
>     
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  AAR_post
Cumulative average abnormal returns:  Car_Diag_Post_MinGR_top8Xtile
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Post_MinGR_top8Xtile
Logfile:  Diag_Post_MinGR_top8Xtile

. 
. // Gather info for CAAR 
.  
. use "Car_Diag_Pre_MinGR_top8Xtile.dta", clear // This is the data for t
> he pre-negotiation period

. 
. drop if _n==10
(1 observation deleted)

. mmerge t using "Car_Diag_Neg_MinGR_top8Xtile", type(1:1) missing(nomatc
> h) // This is the data for the negotiation period 

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_Pre_MinGR_top8Xtile.dta
                 obs |      9
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_Neg_MinGR_top8Xtile.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_Pre_MinGR_top8Xtile.dta
                 obs |     19
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |      9  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. mmerge t using "Car_Diag_Post_MinGR_top8Xtile", type(1:1) missing(nomat
> ch) // This is the data for the post - negotiation period 

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_Pre_MinGR_top8Xtile.dta
                 obs |     19
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_Post_MinGR_top8Xtile.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_Pre_MinGR_top8Xtile.dta
                 obs |     29
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |     19  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. 
. gen tNum = ""
(29 missing values generated)

. replace tNum = usubstr(t, 1, ustrpos(t, ";") - 1)
variable tNum was str1 now str4
(29 real changes made)

. replace tNum = subinstr(tNum, "[", "",.) 
(29 real changes made)

. destring tNum, replace
tNum: all characters numeric; replaced as byte

. replace tNum = tNum+1
(29 real changes made)

. 
. order tNum, after(t)

. 
. replace CAARE = CAARE * 100
(29 real changes made)

. 
. // Corrado-Cowan CIs
. gen CILB = CAARE - 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. gen CIUB = CAARE + 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. 
. replace CILB = -10 if CILB<-10
(1 real change made)

. replace CIUB = 20 if CIUB>20
(0 real changes made)

. 
. /// KP-Confidence Intervalls
> gen CILB_KP = CAARE - 1.96*(abs(CAARE/NCAAREKolari))

. gen CIUB_KP = CAARE + 1.96*(abs(CAARE/NCAAREKolari))

. 
. // BMP Test
. gen CILB_BMP = CAARE - 1.96*(abs(CAARE/NCAAREBoehmer))

. gen CIUB_BMP = CAARE + 1.96*(abs(CAARE/NCAAREBoehmer))

. 
. replace CILB_BMP = -10 if CILB_BMP<-10
(1 real change made)

. replace CIUB_BMP = 20 if CIUB_BMP>20
(0 real changes made)

. 
. sort tNum

. 
. twoway line CAARE tNum, lcolor(red) lwidth(medthick) ///
> yscale(range(-10(5)20)) ylabel(-10(5)20) ///
> xlabel(-20(2)10) ///
> graphregion(color(white)) ///
> xtitle("Trading day to/from Monday 14/12/2015") ytitle("CAAR (in %)") /
> //
> legend(off) ///
> xline(-10, lcolor(black)) xline(0, lcolor(black)) ///
> yline(0, lcolor(black)) ///
> text(18 -15 "Pre-negotiation") ///
> text(18 -6 "Negotiation") ///
> text(18 5 "Post-negotiation") ///
> || rcap CILB_BMP CIUB_BMP tNum, lcolor(blue) 

. 
. graph export "${result}FigE4a.pdf", replace
(file /Users/myramohnen/Dropbox/EventStudy_Paris/JAERE/ConditionalAccept/
> RESULTS/FigE4a.pdf written in PDF format)

. // This is different
. 
. use "Car_Diag_Pre_MinGR_top8Xtile.dta", clear 

. drop if _n==10
(1 observation deleted)

. mmerge t using "Car_Diag_Neg_MinGR_top8Xtile", type(1:1) missing(nomatc
> h) 

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_Pre_MinGR_top8Xtile.dta
                 obs |      9
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_Neg_MinGR_top8Xtile.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_Pre_MinGR_top8Xtile.dta
                 obs |     19
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |      9  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. mmerge t using "Car_Diag_Post_MinGR_top8Xtile", type(1:1) missing(nomat
> ch)

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_Pre_MinGR_top8Xtile.dta
                 obs |     19
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_Post_MinGR_top8Xtile.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_Pre_MinGR_top8Xtile.dta
                 obs |     29
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |     19  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. 
. gen tNum = ""
(29 missing values generated)

. replace tNum = usubstr(t, 1, ustrpos(t, ";") - 1)
variable tNum was str1 now str4
(29 real changes made)

. replace tNum = subinstr(tNum, "[", "",.) 
(29 real changes made)

. destring tNum, replace
tNum: all characters numeric; replaced as byte

. replace tNum = tNum+1
(29 real changes made)

. 
. order tNum, after(t)

. 
. replace CAARE = CAARE * 100
(29 real changes made)

. 
. // Corrado-Cowan CIs
. gen CILB = CAARE - 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. gen CIUB = CAARE + 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. 
. replace CILB = -20 if CILB<-20
(0 real changes made)

. replace CIUB = 30 if CIUB>30
(0 real changes made)

. 
. /// KP-Confidence Intervalls
> gen CILB_KP = CAARE - 1.96*(abs(CAARE/NCAAREKolari))

. gen CIUB_KP = CAARE + 1.96*(abs(CAARE/NCAAREKolari))

. 
. replace CILB_KP = -20 if CILB_KP<-20
(1 real change made)

. replace CIUB_KP = 20 if CIUB_KP>20
(3 real changes made)

. 
. // BMP Test
. gen CILB_BMP = CAARE - 1.96*(abs(CAARE/NCAAREBoehmer))

. gen CIUB_BMP = CAARE + 1.96*(abs(CAARE/NCAAREBoehmer))

. 
. sort tNum

. twoway line CAARE tNum, lcolor(red) lwidth(medthick) ///
> yscale(range(-20(5)20)) ylabel(-20(5)20) ///
> xlabel(-20(2)10) ///
> graphregion(color(white)) ///
> xtitle("Trading day to/from Monday 14/12/2015") ytitle("CAAR (in %)") /
> //
> legend(off) ///
> xline(-10, lcolor(black)) xline(0, lcolor(black)) ///
> yline(0, lcolor(black)) ///
> text(18 -15 "Pre-negotiation") ///
> text(18 -6 "Negotiation") ///
> text(18 5 "Post-negotiation") ///
> || rcap CILB_KP CIUB_KP tNum, lcolor(blue) 

. 
. graph export "${result}FigE5a.pdf", replace
(file /Users/myramohnen/Dropbox/EventStudy_Paris/JAERE/ConditionalAccept/
> RESULTS/FigE5a.pdf written in PDF format)

. 
. use "AAR_pre.dta", clear // This is the data for the pre-negotiation pe
> riod

. 
. drop if _n==10
(1 observation deleted)

. mmerge t using "AAR_neg.dta", type(1:1) missing(nomatch) // This is the
>  data for the negotiation period 

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | AAR_pre.dta
                 obs |     30
                vars |     23
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | AAR_neg.dta
                 obs |     31
                vars |     23
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms AARE NAAREt_test PAAREt_test NAARECDA PAAR
> ECDA
                     | NAAREPatell PAAREPatell NAAREPatellADJ PAAREPatell
> ADJ
                     | NAAREBoehmer PAAREBoehmer NAAREKolari PAAREKolari
                     | NAARECorrado PAARECorrado NAAREZivney PAAREZivney
                     | NAAREGenSign PAAREGenSign NAAREWilcox PAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | AAR_pre.dta
                 obs |     31
                vars |     25  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |      1  obs only in using data                 (co
> de==2)
                     |     30  obs both in master and using data      (co
> de==3)
-------------------------------------------------------------------------
> ------

. mmerge t using "AAR_post.dta", type(1:1) missing(nomatch) // This is th
> e data for the post - negotiation period 

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | AAR_pre.dta
                 obs |     31
                vars |     23
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | AAR_post.dta
                 obs |     31
                vars |     23
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms AARE NAAREt_test PAAREt_test NAARECDA PAAR
> ECDA
                     | NAAREPatell PAAREPatell NAAREPatellADJ PAAREPatell
> ADJ
                     | NAAREBoehmer PAAREBoehmer NAAREKolari PAAREKolari
                     | NAARECorrado PAARECorrado NAAREZivney PAAREZivney
                     | NAAREGenSign PAAREGenSign NAAREWilcox PAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | AAR_pre.dta
                 obs |     31
                vars |     25  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |     31  obs both in master and using data      (co
> de==3)
-------------------------------------------------------------------------
> ------

. 
. replace AARE = AARE * 100
(31 real changes made)

. 
. // Corrado-Cowan CIs
. gen CILB = AARE - 1.96*(abs(AARE/NAARECorrado))

. gen CIUB = AARE + 1.96*(abs(AARE/NAARECorrado))

. 
. replace CILB = -10 if CILB<-10
(1 real change made)

. replace CIUB = 20 if CIUB>20
(0 real changes made)

. 
. twoway line AARE t, lcolor(red) lwidth(medthick) ///
> yscale(range(-10(5)20)) ylabel(-10(5)20) xlabel(-20(2)10) ///
> graphregion(color(white)) ///
> xtitle("Trading day to/from Monday 14/12/2015") ytitle("AAR (in %)") //
> /
> legend(off) ///
> xline(-10, lcolor(black)) xline(0, lcolor(black)) ///
> yline(0, lcolor(black)) ///
> text(18 -15 "Pre-negotiation") ///
> text(18 -6 "Negotiation") ///
> text(18 5 "Post-negotiation") ///
> || rcap CILB CIUB t, lcolor(blue) 

. 
. graph export "${result}FigE6a.pdf", replace
(file /Users/myramohnen/Dropbox/EventStudy_Paris/JAERE/ConditionalAccept/
> RESULTS/FigE6a.pdf written in PDF format)

. 
. /*=====================================================================
> =========*/
. /* Figures E4b, E5b and E6b. 100% GR */ 
. /*=====================================================================
> =========*/
. 
. use "List_US_MinGR_eq1.dta", clear

. 
. eventstudy3 ISIN Date using Returns_US_MinGR_eq1, returns(Return_Unadj)
>  /// 
> mod(FM) /// Fama French model 
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) /// factors
> riskfreerate(RFNum) /// risk free 
> evwlb(-20) /// event window lower bound
> evwub(10) /// event window upper bound 
> eswlb(-121) /// estimation window lower bound 
> eswub(-21) /// estimation window upper bound 
> logreturns /// log returns
> car1LB(-12) car1UB(-10) /// CAR window 1 bounds
> car2LB(-13) car2UB(-11) /// CAR window 2 bounds
> car3LB(-14) car3UB(-12) /// CAR window 3 bounds
> car4LB(-15) car4UB(-13) /// CAR window 4 bounds
> car5LB(-16) car5UB(-14) /// CAR window 5 bounds
> car6LB(-17) car6UB(-15) /// CAR window 6 bounds
> car7LB(-18) car7UB(-16) /// CAR window 7 bounds
> car8LB(-19) car8UB(-17) /// CAR window 8 bounds
> car9LB(-20) car9UB(-18) /// CAR window 9 bounds
> garch archoption(1) garchoption(1) /// ARCH option GARCH option
> diagnosticsfile(Diag_Pre_MinGR_eq1) /// output diagnostic 
> carfile(Car_Diag_Pre_MinGR_eq1) /// output cumulative average abnormal 
> return file
> aarfile(AAR_pre) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 51 events completed.
2 out of 51 events completed.
3 out of 51 events completed.
4 out of 51 events completed.
5 out of 51 events completed.
6 out of 51 events completed.
7 out of 51 events completed.
8 out of 51 events completed.
9 out of 51 events completed.
10 out of 51 events completed.
11 out of 51 events completed.
12 out of 51 events completed.
13 out of 51 events completed.
14 out of 51 events completed.
15 out of 51 events completed.
16 out of 51 events completed.
17 out of 51 events completed.
18 out of 51 events completed.
19 out of 51 events completed.
20 out of 51 events completed.
21 out of 51 events completed.
22 out of 51 events completed.
23 out of 51 events completed.
24 out of 51 events completed.
25 out of 51 events completed.
26 out of 51 events completed.
27 out of 51 events completed.
28 out of 51 events completed.
29 out of 51 events completed.
30 out of 51 events completed.
31 out of 51 events completed.
32 out of 51 events completed.
33 out of 51 events completed.
34 out of 51 events completed.
35 out of 51 events completed.
36 out of 51 events completed.
37 out of 51 events completed.
38 out of 51 events completed.
39 out of 51 events completed.
40 out of 51 events completed.
41 out of 51 events completed.
42 out of 51 events completed.
43 out of 51 events completed.
44 out of 51 events completed.
45 out of 51 events completed.
46 out of 51 events completed.
47 out of 51 events completed.
48 out of 51 events completed.
49 out of 51 events completed.
50 out of 51 events completed.
51 out of 51 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded

Warning: Some CAR window definitions (options carXLB and carXUB) have bee
> n changed because they were outside the event window.

Number of events in the event file: 51
-- thereof: Number of events for which security identifiers and event dat
> es are available: 51
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 51
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 51

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        51    .0109521                                            
>                                                    
    -19        51   -.0000329                                            
>                                                    
    -18        51   -.0273714      ***    **      ***         ***       *
> **       **        **        *         *      ***  
    -17        51   -.0068784                                            
>                                                    
    -16        51    -.000301                                            
>                                                    
    -15        51   -.0011794                                            
>                                                    
    -14        51    .0061375                                            
>                                        *           
    -13        51   -.0028361                                            
>                                                    
    -12        51   -.0071297                                            
>                                                    
    -11        51    .0025862                                            
>                                                    
    -10        51    .0068402                       *                    
>  *                                                 
     -9        51    .0198658       **     *       **                    
> **                                    **      ***  
     -8        51     .010298                      **                    
> **                                                 
     -7        51    .0060761                                            
>                                                 *  
     -6        51   -.0093535                       *                    
> **                                             **  
     -5        51    .0017606                                            
>                                                    
     -4        51     .002343                                            
>                                                    
     -3        51    .0179887        *     *      ***           *        
> **                                    **       **  
     -2        51    .0022042                                            
>                                                    
     -1        51    .0588608      ***   ***      ***          **        
>                                                 *  
      0        51    .0167641        *            ***          **       *
> **        *        **       **       ***      ***  
      1        51    .0108716                                            
>                                                    
      2        51    .0294045      ***   ***      ***         ***       *
> **       **        **       **       ***      ***  
      3        51    .0178399        *              *                    
>                                       **       **  
      4        51    .0205334       **     *      ***          **       *
> **       **        **       **        **      ***  
      5        51    .0090952                      **                    
> **                                                 
      6        51   -.0192342       **     *        *                    
>  *                           *         *      ***  
      7        51   -.0090525                                            
>                                        *           
      8        51   -.0012556                                            
>                                                    
      9        51    .0033626                                            
>                                                    
     10        51   -.0054523                                            
>                                                    

            t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ  
>  Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   W
> ilcox  
    [-12;-10]        51    .0022967                                      
>                                                                        
>        
    [-13;-11]        51   -.0073796                                      
>                                                                        
>        
    [-14;-12]        51   -.0038283                                      
>                                                                        
>        
    [-15;-13]        51     .002122                                      
>                                                                        
>        
    [-16;-14]        51    .0046572                                      
>                                                                        
>        
    [-17;-15]        51   -.0083587                                      
>                                                                        
>        
    [-18;-16]        51   -.0345507       **     *      ***         ***  
>       **                                                               
>    **  
    [-19;-17]        51   -.0342827       **     *      ***          **  
>       **                                                 *        *    
>   ***  
    [-20;-18]        51   -.0164522                                      
>                                                                        
>        
     [-20;10]        51    .1637077      ***   ***      ***         ***  
>       **                        *              *       ***        *    
>   ***  
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  AAR_pre
Cumulative average abnormal returns:  Car_Diag_Pre_MinGR_eq1
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Pre_MinGR_eq1
Logfile:  Diag_Pre_MinGR_eq1

. 
. 
. use "List_US_MinGR_eq1.dta", clear

. 
. eventstudy3 ISIN Date using Returns_US_MinGR_eq1, returns(Return_Unadj)
>  /// 
> mod(FM) ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> evwlb(-20) evwub(10) ///
> eswlb(-121) eswub(-21) ///
> logreturns ///
> car1LB(-2) car1UB(0) ///
> car2LB(-3) car2UB(-1) ///
> car3LB(-4) car3UB(-2) ///
> car4LB(-5) car4UB(-3) ///
> car5LB(-6) car5UB(-4) ///
> car6LB(-7) car6UB(-5) ///
> car7LB(-8) car7UB(-6) ///
> car8LB(-9) car8UB(-7) ///
> car9LB(-10) car9UB(-8) ///
> car10LB(-11) car10UB(-9) ///
> garch archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_Neg_MinGR_eq1) ///
> carfile(Car_Diag_Neg_MinGR_eq1) ///
> aarfile(AAR_neg) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 51 events completed.
2 out of 51 events completed.
3 out of 51 events completed.
4 out of 51 events completed.
5 out of 51 events completed.
6 out of 51 events completed.
7 out of 51 events completed.
8 out of 51 events completed.
9 out of 51 events completed.
10 out of 51 events completed.
11 out of 51 events completed.
12 out of 51 events completed.
13 out of 51 events completed.
14 out of 51 events completed.
15 out of 51 events completed.
16 out of 51 events completed.
17 out of 51 events completed.
18 out of 51 events completed.
19 out of 51 events completed.
20 out of 51 events completed.
21 out of 51 events completed.
22 out of 51 events completed.
23 out of 51 events completed.
24 out of 51 events completed.
25 out of 51 events completed.
26 out of 51 events completed.
27 out of 51 events completed.
28 out of 51 events completed.
29 out of 51 events completed.
30 out of 51 events completed.
31 out of 51 events completed.
32 out of 51 events completed.
33 out of 51 events completed.
34 out of 51 events completed.
35 out of 51 events completed.
36 out of 51 events completed.
37 out of 51 events completed.
38 out of 51 events completed.
39 out of 51 events completed.
40 out of 51 events completed.
41 out of 51 events completed.
42 out of 51 events completed.
43 out of 51 events completed.
44 out of 51 events completed.
45 out of 51 events completed.
46 out of 51 events completed.
47 out of 51 events completed.
48 out of 51 events completed.
49 out of 51 events completed.
50 out of 51 events completed.
51 out of 51 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded


Number of events in the event file: 51
-- thereof: Number of events for which security identifiers and event dat
> es are available: 51
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 51
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 51

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        51    .0109521                                            
>                                                    
    -19        51   -.0000329                                            
>                                                    
    -18        51   -.0273714      ***    **      ***         ***       *
> **       **        **        *         *      ***  
    -17        51   -.0068784                                            
>                                                    
    -16        51    -.000301                                            
>                                                    
    -15        51   -.0011794                                            
>                                                    
    -14        51    .0061375                                            
>                                        *           
    -13        51   -.0028361                                            
>                                                    
    -12        51   -.0071297                                            
>                                                    
    -11        51    .0025862                                            
>                                                    
    -10        51    .0068402                       *                    
>  *                                                 
     -9        51    .0198658       **     *       **                    
> **                                    **      ***  
     -8        51     .010298                      **                    
> **                                                 
     -7        51    .0060761                                            
>                                                 *  
     -6        51   -.0093535                       *                    
> **                                             **  
     -5        51    .0017606                                            
>                                                    
     -4        51     .002343                                            
>                                                    
     -3        51    .0179887        *     *      ***           *        
> **                                    **       **  
     -2        51    .0022042                                            
>                                                    
     -1        51    .0588608      ***   ***      ***          **        
>                                                 *  
      0        51    .0167641        *            ***          **       *
> **        *        **       **       ***      ***  
      1        51    .0108716                                            
>                                                    
      2        51    .0294045      ***   ***      ***         ***       *
> **       **        **       **       ***      ***  
      3        51    .0178399        *              *                    
>                                       **       **  
      4        51    .0205334       **     *      ***          **       *
> **       **        **       **        **      ***  
      5        51    .0090952                      **                    
> **                                                 
      6        51   -.0192342       **     *        *                    
>  *                           *         *      ***  
      7        51   -.0090525                                            
>                                        *           
      8        51   -.0012556                                            
>                                                    
      9        51    .0033626                                            
>                                                    
     10        51   -.0054523                                            
>                                                    

           t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ   
> Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   Wi
> lcox  
      [-2;0]        51    .0778291      ***   ***      ***          **   
>       *                        *                      ***       **     
>  ***  
     [-3;-1]        51    .0790536      ***   ***      ***         ***   
>       *                                                **        *     
>   **  
     [-4;-2]        51    .0225358                     ***           *   
>                                                        **              
>   **  
     [-5;-3]        51    .0220922                      **               
>       *                                                **        *     
>   **  
     [-6;-4]        51     -.00525                                       
>                                                                        
>       
     [-7;-5]        51   -.0015169                                       
>                                                                        
>       
     [-8;-6]        51    .0070206                       *               
>                                                                        
>       
     [-9;-7]        51    .0362399       **     *      ***         ***   
>     ***        *              **             **        **       **     
>  ***  
    [-10;-8]        51     .037004      ***     *      ***         ***   
>     ***       **              **             **       ***      ***     
>  ***  
    [-11;-9]        51    .0292922       **            ***          **   
>     ***       **               *              *       ***      ***     
>  ***  
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  AAR_neg
Cumulative average abnormal returns:  Car_Diag_Neg_MinGR_eq1
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Neg_MinGR_eq1
Logfile:  Diag_Neg_MinGR_eq1

. 
. use "List_US_MinGR_eq1.dta", clear

. 
. eventstudy3 ISIN Date using Returns_US_MinGR_eq1, returns(Return_Unadj)
>  /// 
> mod(FM) ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> evwlb(-20)  evwub(10) ///
> eswlb(-121) eswub(-21) ///
> logreturns ///
> car1LB(-1) car1UB(1) ///
> car2LB(0) car2UB(2) ///
> car3LB(1) car3UB(3) ///
> car4LB(2) car4UB(4) ///
> car5LB(3) car5UB(5) ///
> car6LB(4) car6UB(6) ///
> car7LB(5) car7UB(7) ///
> car8LB(6) car8UB(8) ///
> car9LB(7) car9UB(9) ///
> car10LB(8) car10UB(10) ///
> garch archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_Post_MinGR_eq1) ///
> carfile(Car_Diag_Post_MinGR_eq1) ///
> aarfile(AAR_post) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 51 events completed.
2 out of 51 events completed.
3 out of 51 events completed.
4 out of 51 events completed.
5 out of 51 events completed.
6 out of 51 events completed.
7 out of 51 events completed.
8 out of 51 events completed.
9 out of 51 events completed.
10 out of 51 events completed.
11 out of 51 events completed.
12 out of 51 events completed.
13 out of 51 events completed.
14 out of 51 events completed.
15 out of 51 events completed.
16 out of 51 events completed.
17 out of 51 events completed.
18 out of 51 events completed.
19 out of 51 events completed.
20 out of 51 events completed.
21 out of 51 events completed.
22 out of 51 events completed.
23 out of 51 events completed.
24 out of 51 events completed.
25 out of 51 events completed.
26 out of 51 events completed.
27 out of 51 events completed.
28 out of 51 events completed.
29 out of 51 events completed.
30 out of 51 events completed.
31 out of 51 events completed.
32 out of 51 events completed.
33 out of 51 events completed.
34 out of 51 events completed.
35 out of 51 events completed.
36 out of 51 events completed.
37 out of 51 events completed.
38 out of 51 events completed.
39 out of 51 events completed.
40 out of 51 events completed.
41 out of 51 events completed.
42 out of 51 events completed.
43 out of 51 events completed.
44 out of 51 events completed.
45 out of 51 events completed.
46 out of 51 events completed.
47 out of 51 events completed.
48 out of 51 events completed.
49 out of 51 events completed.
50 out of 51 events completed.
51 out of 51 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded


Number of events in the event file: 51
-- thereof: Number of events for which security identifiers and event dat
> es are available: 51
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 51
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 51

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        51    .0109521                                            
>                                                    
    -19        51   -.0000329                                            
>                                                    
    -18        51   -.0273714      ***    **      ***         ***       *
> **       **        **        *         *      ***  
    -17        51   -.0068784                                            
>                                                    
    -16        51    -.000301                                            
>                                                    
    -15        51   -.0011794                                            
>                                                    
    -14        51    .0061375                                            
>                                        *           
    -13        51   -.0028361                                            
>                                                    
    -12        51   -.0071297                                            
>                                                    
    -11        51    .0025862                                            
>                                                    
    -10        51    .0068402                       *                    
>  *                                                 
     -9        51    .0198658       **     *       **                    
> **                                    **      ***  
     -8        51     .010298                      **                    
> **                                                 
     -7        51    .0060761                                            
>                                                 *  
     -6        51   -.0093535                       *                    
> **                                             **  
     -5        51    .0017606                                            
>                                                    
     -4        51     .002343                                            
>                                                    
     -3        51    .0179887        *     *      ***           *        
> **                                    **       **  
     -2        51    .0022042                                            
>                                                    
     -1        51    .0588608      ***   ***      ***          **        
>                                                 *  
      0        51    .0167641        *            ***          **       *
> **        *        **       **       ***      ***  
      1        51    .0108716                                            
>                                                    
      2        51    .0294045      ***   ***      ***         ***       *
> **       **        **       **       ***      ***  
      3        51    .0178399        *              *                    
>                                       **       **  
      4        51    .0205334       **     *      ***          **       *
> **       **        **       **        **      ***  
      5        51    .0090952                      **                    
> **                                                 
      6        51   -.0192342       **     *        *                    
>  *                           *         *      ***  
      7        51   -.0090525                                            
>                                        *           
      8        51   -.0012556                                            
>                                                    
      9        51    .0033626                                            
>                                                    
     10        51   -.0054523                                            
>                                                    

         t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ   Bo
> ehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   Wilc
> ox  
    [-1;1]        51    .0864965      ***   ***      ***         ***     
>    **                       **              *        **       **      *
> **  
     [0;2]        51    .0570403      ***   ***      ***         ***     
>   ***       **             ***             **        **      ***      *
> **  
     [1;3]        51     .058116      ***   ***      ***         ***     
>   ***       **              **             **       ***       **      *
> **  
     [2;4]        51    .0677779      ***   ***      ***         ***     
>   ***      ***             ***            ***       ***      ***      *
> **  
     [3;5]        51    .0474686      ***    **      ***         ***     
>   ***       **             ***             **       ***      ***      *
> **  
     [4;6]        51    .0103945                     ***         ***     
>   ***       **                                               ***       
>     
     [5;7]        51   -.0191915                                         
>                                                                        
>     
     [6;8]        51   -.0295424       **             **                 
>    **                                                **      ***      *
> **  
     [7;9]        51   -.0069455                                         
>                                                                        
>     
    [8;10]        51   -.0033453                                         
>                                                                        
>     
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  AAR_post
Cumulative average abnormal returns:  Car_Diag_Post_MinGR_eq1
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Post_MinGR_eq1
Logfile:  Diag_Post_MinGR_eq1

. 
. 
. use "Car_Diag_Pre_MinGR_eq1.dta", clear // This is the data for the pre
> -negotiation period

. 
. drop if _n==10
(1 observation deleted)

. mmerge t using "Car_Diag_Negot_MinGR_eq1", type(1:1) missing(nomatch) /
> / This is the data for the negotiation period 

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_Pre_MinGR_eq1.dta
                 obs |      9
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_Negot_MinGR_eq1.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_Pre_MinGR_eq1.dta
                 obs |     19
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |      9  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. mmerge t using "Car_Diag_Post_MinGR_eq1", type(1:1) missing(nomatch) //
>  This is the data for the post - negotiation period 

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_Pre_MinGR_eq1.dta
                 obs |     19
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_Post_MinGR_eq1.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_Pre_MinGR_eq1.dta
                 obs |     29
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |     19  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. 
. gen tNum = ""
(29 missing values generated)

. replace tNum = usubstr(t, 1, ustrpos(t, ";") - 1)
variable tNum was str1 now str4
(29 real changes made)

. replace tNum = subinstr(tNum, "[", "",.) 
(29 real changes made)

. destring tNum, replace
tNum: all characters numeric; replaced as byte

. replace tNum = tNum+1
(29 real changes made)

. 
. order tNum, after(t)

. 
. replace CAARE = CAARE * 100
(29 real changes made)

. 
. // Corrado-Cowan CIs
. gen CILB = CAARE - 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. gen CIUB = CAARE + 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. 
. replace CILB = -10 if CILB<-10
(3 real changes made)

. replace CIUB = 20 if CIUB>20
(2 real changes made)

. 
. /// KP-Confidence Intervalls
> gen CILB_KP = CAARE - 1.96*(abs(CAARE/NCAAREKolari))

. gen CIUB_KP = CAARE + 1.96*(abs(CAARE/NCAAREKolari))

. 
. // BMP Test
. gen CILB_BMP = CAARE - 1.96*(abs(CAARE/NCAAREBoehmer))

. gen CIUB_BMP = CAARE + 1.96*(abs(CAARE/NCAAREBoehmer))

. 
. replace CILB_BMP=-10 if CILB_BMP<-10 
(2 real changes made)

. replace CIUB_BMP=20 if CIUB_BMP>20
(1 real change made)

. 
. sort tNum

. 
. twoway line CAARE tNum, lcolor(red) lwidth(medthick) ///
> yscale(range(-10(5)20)) ylabel(-10(5)20) ///
> xlabel(-20(2)10) ///
> graphregion(color(white)) ///
> xtitle("Trading day to/from Monday 14/12/2015") ytitle("CAAR (in %)") /
> //
> legend(off) ///
> xline(-10, lcolor(black)) xline(0, lcolor(black)) ///
> yline(0, lcolor(black)) ///
> text(18 -15 "Pre-negotiation") ///
> text(18 -6 "Negotiation") ///
> text(18 5 "Post-negotiation") ///
> || rcap CILB_BMP CIUB_BMP tNum, lcolor(blue) 

. 
. graph export "${result}FigE4b.pdf", replace
(file /Users/myramohnen/Dropbox/EventStudy_Paris/JAERE/ConditionalAccept/
> RESULTS/FigE4b.pdf written in PDF format)

. 
. 
. use "Car_Diag_Pre_MinGR_eq1.dta", clear // This is the data for the pre
> -negotiation period

. 
. drop if _n==10
(1 observation deleted)

. mmerge t using "Car_Diag_Negot_MinGR_eq1", type(1:1) missing(nomatch) /
> / This is the data for the negotiation period 

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_Pre_MinGR_eq1.dta
                 obs |      9
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_Negot_MinGR_eq1.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_Pre_MinGR_eq1.dta
                 obs |     19
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |      9  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. mmerge t using "Car_Diag_Post_MinGR_eq1", type(1:1) missing(nomatch) //
>  This is the data for the post - negotiation period 

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_Pre_MinGR_eq1.dta
                 obs |     19
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_Post_MinGR_eq1.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_Pre_MinGR_eq1.dta
                 obs |     29
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |     19  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. 
. gen tNum = ""
(29 missing values generated)

. replace tNum = usubstr(t, 1, ustrpos(t, ";") - 1)
variable tNum was str1 now str4
(29 real changes made)

. replace tNum = subinstr(tNum, "[", "",.) 
(29 real changes made)

. destring tNum, replace
tNum: all characters numeric; replaced as byte

. replace tNum = tNum+1
(29 real changes made)

. 
. order tNum, after(t)

. 
. replace CAARE = CAARE * 100
(29 real changes made)

. 
. // Corrado-Cowan CIs
. gen CILB = CAARE - 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. gen CIUB = CAARE + 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. 
. replace CILB = -20 if CILB<-20
(2 real changes made)

. replace CIUB = 30 if CIUB>30
(1 real change made)

. 
. /// KP-Confidence Intervalls
> gen CILB_KP = CAARE - 1.96*(abs(CAARE/NCAAREKolari))

. gen CIUB_KP = CAARE + 1.96*(abs(CAARE/NCAAREKolari))

. 
. replace CILB_KP = -20 if CILB_KP<-20
(2 real changes made)

. replace CIUB_KP = 20 if CIUB_KP>20
(4 real changes made)

. 
. // BMP Test
. gen CILB_BMP = CAARE - 1.96*(abs(CAARE/NCAAREBoehmer))

. gen CIUB_BMP = CAARE + 1.96*(abs(CAARE/NCAAREBoehmer))

. 
. sort tNum

. twoway line CAARE tNum, lcolor(red) lwidth(medthick) ///
> yscale(range(-20(5)20)) ylabel(-20(5)20) ///
> xlabel(-20(2)10) ///
> graphregion(color(white)) ///
> xtitle("Trading day to/from Monday 14/12/2015") ytitle("CAAR (in %)") /
> //
> legend(off) ///
> xline(-10, lcolor(black)) xline(0, lcolor(black)) ///
> yline(0, lcolor(black)) ///
> text(18 -15 "Pre-negotiation") ///
> text(18 -6 "Negotiation") ///
> text(18 5 "Post-negotiation") ///
> || rcap CILB_KP CIUB_KP tNum, lcolor(blue) 

. 
. graph export "${result}FigE5b.pdf", replace
(file /Users/myramohnen/Dropbox/EventStudy_Paris/JAERE/ConditionalAccept/
> RESULTS/FigE5b.pdf written in PDF format)

. 
. 
. use "aarfile.dta", clear // This is the data for the pre-negotiation pe
> riod

. 
. replace AARE = AARE * 100
(31 real changes made)

. 
. // Corrado-Cowan CIs
. gen CILB = AARE - 1.96*(abs(AARE/NAARECorrado))

. gen CIUB = AARE + 1.96*(abs(AARE/NAARECorrado))

. 
. replace CILB = -10 if CILB<-10
(2 real changes made)

. replace CIUB = 20 if CIUB>20
(1 real change made)

. 
. twoway line AARE t, lcolor(red) lwidth(medthick) ///
> yscale(range(-10(5)20)) ylabel(-10(5)20) xlabel(-20(2)10) ///
> graphregion(color(white)) ///
> xtitle("Trading day to/from Monday 14/12/2015") ytitle("AAR (in %)") //
> /
> legend(off) ///
> xline(-10, lcolor(black)) xline(0, lcolor(black)) ///
> yline(0, lcolor(black)) ///
> text(18 -15 "Pre-negotiation") ///
> text(18 -6 "Negotiation") ///
> text(18 5 "Post-negotiation") ///
> || rcap CILB CIUB t, lcolor(blue) 

. 
. graph export "${result}FigE6b.pdf", replace
(file /Users/myramohnen/Dropbox/EventStudy_Paris/JAERE/ConditionalAccept/
> RESULTS/FigE6b.pdf written in PDF format)

. 
. /*=====================================================================
> =========*/
. /* Figures E4c, E5c, and E6c Top 40% */ 
. /*=====================================================================
> =========*/
. 
. use "List_US_MinGR_top40pc.dta", clear

. 
. eventstudy3 ISIN Date using Returns_US_MinGR_top40pc, returns(Return_Un
> adj) /// 
> mod(FM) ///
> logreturns ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> evwlb(-20)  evwub(10) eswlb(-121) eswub(-21) ///
> car1LB(-1) car1UB(1) ///
> car2LB(0) car2UB(2) ///
> car3LB(1) car3UB(3) ///
> car4LB(2) car4UB(4) ///
> car5LB(3) car5UB(5) ///
> car6LB(4) car6UB(6) ///
> car7LB(5) car7UB(7) ///
> car8LB(6) car8UB(8) ///
> car9LB(7) car9UB(9) ///
> car10LB(8) car10UB(10) ///
> garch archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_Post_MinGRtop40pc) ///
> carfile(Car_Diag_Post_MinGRtop40pc) ///
> aarfile(aarfile) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 83 events completed.
2 out of 83 events completed.
3 out of 83 events completed.
4 out of 83 events completed.
5 out of 83 events completed.
6 out of 83 events completed.
7 out of 83 events completed.
8 out of 83 events completed.
9 out of 83 events completed.
10 out of 83 events completed.
11 out of 83 events completed.
12 out of 83 events completed.
13 out of 83 events completed.
14 out of 83 events completed.
15 out of 83 events completed.
16 out of 83 events completed.
17 out of 83 events completed.
18 out of 83 events completed.
19 out of 83 events completed.
20 out of 83 events completed.
21 out of 83 events completed.
22 out of 83 events completed.
23 out of 83 events completed.
24 out of 83 events completed.
25 out of 83 events completed.
26 out of 83 events completed.
27 out of 83 events completed.
28 out of 83 events completed.
29 out of 83 events completed.
30 out of 83 events completed.
31 out of 83 events completed.
32 out of 83 events completed.
33 out of 83 events completed.
34 out of 83 events completed.
35 out of 83 events completed.
36 out of 83 events completed.
37 out of 83 events completed.
38 out of 83 events completed.
39 out of 83 events completed.
40 out of 83 events completed.
41 out of 83 events completed.
42 out of 83 events completed.
43 out of 83 events completed.
44 out of 83 events completed.
45 out of 83 events completed.
46 out of 83 events completed.
47 out of 83 events completed.
48 out of 83 events completed.
49 out of 83 events completed.
50 out of 83 events completed.
51 out of 83 events completed.
52 out of 83 events completed.
53 out of 83 events completed.
54 out of 83 events completed.
55 out of 83 events completed.
56 out of 83 events completed.
57 out of 83 events completed.
58 out of 83 events completed.
59 out of 83 events completed.
60 out of 83 events completed.
61 out of 83 events completed.
62 out of 83 events completed.
63 out of 83 events completed.
64 out of 83 events completed.
65 out of 83 events completed.
66 out of 83 events completed.
67 out of 83 events completed.
68 out of 83 events completed.
69 out of 83 events completed.
70 out of 83 events completed.
71 out of 83 events completed.
72 out of 83 events completed.
73 out of 83 events completed.
74 out of 83 events completed.
75 out of 83 events completed.
76 out of 83 events completed.
77 out of 83 events completed.
78 out of 83 events completed.
79 out of 83 events completed.
80 out of 83 events completed.
81 out of 83 events completed.
82 out of 83 events completed.
83 out of 83 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded


Number of events in the event file: 83
-- thereof: Number of events for which security identifiers and event dat
> es are available: 83
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 83
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 83

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        83    .0099487                      **                    
> **                                              *  
    -19        83   -.0009246                                            
>                                                    
    -18        83   -.0207871      ***   ***      ***         ***       *
> **      ***       ***       **       ***      ***  
    -17        83   -.0038076                                            
>                                                    
    -16        83    .0005247                                            
>                                                    
    -15        83    -.001109                                            
>                                                    
    -14        83    .0010583                                            
>                                       **       **  
    -13        83   -.0011289                                            
>                                                    
    -12        83   -.0050515                                            
>                                                    
    -11        83    .0042605                       *                   *
> **        *                           **       **  
    -10        83    .0081833                      **                    
> **                                     *        *  
     -9        83    .0133186       **     *       **                    
> **                                    **      ***  
     -8        83    .0053099                                            
>                                                    
     -7        83    .0054141                                            
>                                                 *  
     -6        83   -.0049741                                            
>                                                    
     -5        83    .0014867                                            
>                                                    
     -4        83   -.0004637                                            
>                                                    
     -3        83    .0147168       **    **      ***           *        
> **                                    **      ***  
     -2        83   -.0013447                      **                    
> **                                                 
     -1        83    .0374905      ***   ***       **                    
>                                                    
      0        83    .0097419                      **                    
>  *                                     *      ***  
      1        83    .0044803                                            
>                                                    
      2        83    .0229033      ***   ***      ***         ***       *
> **      ***       ***      ***       ***      ***  
      3        83    .0143998       **     *      ***           *        
> **                  *        *       ***      ***  
      4        83    .0163901      ***    **      ***         ***       *
> **      ***        **       **       ***      ***  
      5        83    .0065961                                            
>                                                    
      6        83   -.0121971       **                                   
>                                                **  
      7        83   -.0036895                                            
>                                        *           
      8        83   -.0005002                                            
>                                                    
      9        83    .0031039                       *                    
> **                                                 
     10        83   -.0063632                                            
>                                        *       **  

         t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ   Bo
> ehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   Wilc
> ox  
    [-1;1]        83    .0517127      ***   ***      ***         ***     
>     *                                                 *                
> **  
     [0;2]        83    .0371254      ***   ***      ***         ***     
>   ***       **             ***             **       ***      ***      *
> **  
     [1;3]        83    .0417833      ***   ***      ***         ***     
>   ***       **             ***            ***       ***      ***      *
> **  
     [2;4]        83    .0536932      ***   ***      ***         ***     
>   ***      ***             ***            ***       ***      ***      *
> **  
     [3;5]        83    .0373859      ***   ***      ***         ***     
>   ***      ***             ***            ***       ***      ***      *
> **  
     [4;6]        83    .0107891                     ***         ***     
>   ***       **                                        *      ***       
>  *  
     [5;7]        83   -.0092905                                         
>                                                                        
>     
     [6;8]        83   -.0163868        *                                
>                                                                        
> **  
     [7;9]        83   -.0010858                                         
>                                                                        
>     
    [8;10]        83   -.0037596                                         
>                                                                        
>     
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  aarfile
Cumulative average abnormal returns:  Car_Diag_Post_MinGRtop40pc
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Post_MinGRtop40pc
Logfile:  Diag_Post_MinGRtop40pc

. 
. use "List_US_MinGR_top40pc.dta", clear

. 
. eventstudy3 ISIN Date using Returns_US_MinGR_top40pc, returns(Return_Un
> adj) /// 
> car1LB(-2) car1UB(0) ///
> car2LB(-3) car2UB(-1) ///
> car3LB(-4) car3UB(-2) ///
> car4LB(-5) car4UB(-3) ///
> car5LB(-6) car5UB(-4) ///
> car6LB(-7) car6UB(-5) ///
> car7LB(-8) car7UB(-6) ///
> car8LB(-9) car8UB(-7) ///
> car9LB(-10) car9UB(-8) ///
> car10LB(-11) car10UB(-9)  ///
> evwlb(-20)  evwub(10) eswlb(-121) eswub(-21) ///
> mod(FM) ///
> logreturns ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> garch archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_Negot_MinGRtop40pc) carfile(Car_Diag_Negot_MinGRto
> p40pc) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 83 events completed.
2 out of 83 events completed.
3 out of 83 events completed.
4 out of 83 events completed.
5 out of 83 events completed.
6 out of 83 events completed.
7 out of 83 events completed.
8 out of 83 events completed.
9 out of 83 events completed.
10 out of 83 events completed.
11 out of 83 events completed.
12 out of 83 events completed.
13 out of 83 events completed.
14 out of 83 events completed.
15 out of 83 events completed.
16 out of 83 events completed.
17 out of 83 events completed.
18 out of 83 events completed.
19 out of 83 events completed.
20 out of 83 events completed.
21 out of 83 events completed.
22 out of 83 events completed.
23 out of 83 events completed.
24 out of 83 events completed.
25 out of 83 events completed.
26 out of 83 events completed.
27 out of 83 events completed.
28 out of 83 events completed.
29 out of 83 events completed.
30 out of 83 events completed.
31 out of 83 events completed.
32 out of 83 events completed.
33 out of 83 events completed.
34 out of 83 events completed.
35 out of 83 events completed.
36 out of 83 events completed.
37 out of 83 events completed.
38 out of 83 events completed.
39 out of 83 events completed.
40 out of 83 events completed.
41 out of 83 events completed.
42 out of 83 events completed.
43 out of 83 events completed.
44 out of 83 events completed.
45 out of 83 events completed.
46 out of 83 events completed.
47 out of 83 events completed.
48 out of 83 events completed.
49 out of 83 events completed.
50 out of 83 events completed.
51 out of 83 events completed.
52 out of 83 events completed.
53 out of 83 events completed.
54 out of 83 events completed.
55 out of 83 events completed.
56 out of 83 events completed.
57 out of 83 events completed.
58 out of 83 events completed.
59 out of 83 events completed.
60 out of 83 events completed.
61 out of 83 events completed.
62 out of 83 events completed.
63 out of 83 events completed.
64 out of 83 events completed.
65 out of 83 events completed.
66 out of 83 events completed.
67 out of 83 events completed.
68 out of 83 events completed.
69 out of 83 events completed.
70 out of 83 events completed.
71 out of 83 events completed.
72 out of 83 events completed.
73 out of 83 events completed.
74 out of 83 events completed.
75 out of 83 events completed.
76 out of 83 events completed.
77 out of 83 events completed.
78 out of 83 events completed.
79 out of 83 events completed.
80 out of 83 events completed.
81 out of 83 events completed.
82 out of 83 events completed.
83 out of 83 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded


Number of events in the event file: 83
-- thereof: Number of events for which security identifiers and event dat
> es are available: 83
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 83
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 83

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        83    .0099487                      **                    
> **                                              *  
    -19        83   -.0009246                                            
>                                                    
    -18        83   -.0207871      ***   ***      ***         ***       *
> **      ***       ***       **       ***      ***  
    -17        83   -.0038076                                            
>                                                    
    -16        83    .0005247                                            
>                                                    
    -15        83    -.001109                                            
>                                                    
    -14        83    .0010583                                            
>                                       **       **  
    -13        83   -.0011289                                            
>                                                    
    -12        83   -.0050515                                            
>                                                    
    -11        83    .0042605                       *                   *
> **        *                           **       **  
    -10        83    .0081833                      **                    
> **                                     *        *  
     -9        83    .0133186       **     *       **                    
> **                                    **      ***  
     -8        83    .0053099                                            
>                                                    
     -7        83    .0054141                                            
>                                                 *  
     -6        83   -.0049741                                            
>                                                    
     -5        83    .0014867                                            
>                                                    
     -4        83   -.0004637                                            
>                                                    
     -3        83    .0147168       **    **      ***           *        
> **                                    **      ***  
     -2        83   -.0013447                      **                    
> **                                                 
     -1        83    .0374905      ***   ***       **                    
>                                                    
      0        83    .0097419                      **                    
>  *                                     *      ***  
      1        83    .0044803                                            
>                                                    
      2        83    .0229033      ***   ***      ***         ***       *
> **      ***       ***      ***       ***      ***  
      3        83    .0143998       **     *      ***           *        
> **                  *        *       ***      ***  
      4        83    .0163901      ***    **      ***         ***       *
> **      ***        **       **       ***      ***  
      5        83    .0065961                                            
>                                                    
      6        83   -.0121971       **                                   
>                                                **  
      7        83   -.0036895                                            
>                                        *           
      8        83   -.0005002                                            
>                                                    
      9        83    .0031039                       *                    
> **                                                 
     10        83   -.0063632                                            
>                                        *       **  

           t   NoFirms       CAAR   t_test   CDA   Patell   PatellADJ   B
> oehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   Wil
> cox  
      [-2;0]        83   .0458877      ***   ***                         
>                                                       **               
>   *  
     [-3;-1]        83   .0508626      ***   ***      ***                
>                                                                        
>  **  
     [-4;-2]        83   .0129084                                        
>                                                                        
>      
     [-5;-3]        83   .0157398        *             **                
>      *                                                **        *      
>  **  
     [-6;-4]        83   -.003951                                        
>                                                                        
>      
     [-7;-5]        83   .0019267                                        
>                                                       **        *      
>      
     [-8;-6]        83   .0057499                                        
>                                                                        
>      
     [-9;-7]        83   .0240426      ***     *      ***          **    
>     **                        *              *                         
> ***  
    [-10;-8]        83   .0268119      ***    **      ***         ***    
>    ***       **              **              *        **       **      
> ***  
    [-11;-9]        83   .0257624      ***    **      ***         ***    
>    ***      ***              **             **       ***      ***      
> ***  
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  aarfile
Cumulative average abnormal returns:  Car_Diag_Negot_MinGRtop40pc
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Negot_MinGRtop40pc
Logfile:  Diag_Negot_MinGRtop40pc

. 
. use "List_US_MinGR_top40pc.dta", clear

. 
. eventstudy3 ISIN Date using Returns_US_MinGR_top40pc, returns(Return_Un
> adj) /// 
> car1LB(-12) car1UB(-10) ///
> car2LB(-13) car2UB(-11) ///
> car3LB(-14) car3UB(-12) ///
> car4LB(-15) car4UB(-13) ///
> car5LB(-16) car5UB(-14) ///
> car6LB(-17) car6UB(-15) ///
> car7LB(-18) car7UB(-16) ///
> car8LB(-19) car8UB(-17) ///
> car9LB(-20) car9UB(-18)  ///
> evwlb(-20)  evwub(10) eswlb(-121) eswub(-21) ///
> mod(FM) ///
> logreturns ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> garch archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_Pre_MinGRtop40pc) carfile(Car_Diag_Pre_MinGRtop40p
> c) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 83 events completed.
2 out of 83 events completed.
3 out of 83 events completed.
4 out of 83 events completed.
5 out of 83 events completed.
6 out of 83 events completed.
7 out of 83 events completed.
8 out of 83 events completed.
9 out of 83 events completed.
10 out of 83 events completed.
11 out of 83 events completed.
12 out of 83 events completed.
13 out of 83 events completed.
14 out of 83 events completed.
15 out of 83 events completed.
16 out of 83 events completed.
17 out of 83 events completed.
18 out of 83 events completed.
19 out of 83 events completed.
20 out of 83 events completed.
21 out of 83 events completed.
22 out of 83 events completed.
23 out of 83 events completed.
24 out of 83 events completed.
25 out of 83 events completed.
26 out of 83 events completed.
27 out of 83 events completed.
28 out of 83 events completed.
29 out of 83 events completed.
30 out of 83 events completed.
31 out of 83 events completed.
32 out of 83 events completed.
33 out of 83 events completed.
34 out of 83 events completed.
35 out of 83 events completed.
36 out of 83 events completed.
37 out of 83 events completed.
38 out of 83 events completed.
39 out of 83 events completed.
40 out of 83 events completed.
41 out of 83 events completed.
42 out of 83 events completed.
43 out of 83 events completed.
44 out of 83 events completed.
45 out of 83 events completed.
46 out of 83 events completed.
47 out of 83 events completed.
48 out of 83 events completed.
49 out of 83 events completed.
50 out of 83 events completed.
51 out of 83 events completed.
52 out of 83 events completed.
53 out of 83 events completed.
54 out of 83 events completed.
55 out of 83 events completed.
56 out of 83 events completed.
57 out of 83 events completed.
58 out of 83 events completed.
59 out of 83 events completed.
60 out of 83 events completed.
61 out of 83 events completed.
62 out of 83 events completed.
63 out of 83 events completed.
64 out of 83 events completed.
65 out of 83 events completed.
66 out of 83 events completed.
67 out of 83 events completed.
68 out of 83 events completed.
69 out of 83 events completed.
70 out of 83 events completed.
71 out of 83 events completed.
72 out of 83 events completed.
73 out of 83 events completed.
74 out of 83 events completed.
75 out of 83 events completed.
76 out of 83 events completed.
77 out of 83 events completed.
78 out of 83 events completed.
79 out of 83 events completed.
80 out of 83 events completed.
81 out of 83 events completed.
82 out of 83 events completed.
83 out of 83 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded

Warning: Some CAR window definitions (options carXLB and carXUB) have bee
> n changed because they were outside the event window.

Number of events in the event file: 83
-- thereof: Number of events for which security identifiers and event dat
> es are available: 83
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 83
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 83

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        83    .0099487                      **                    
> **                                              *  
    -19        83   -.0009246                                            
>                                                    
    -18        83   -.0207871      ***   ***      ***         ***       *
> **      ***       ***       **       ***      ***  
    -17        83   -.0038076                                            
>                                                    
    -16        83    .0005247                                            
>                                                    
    -15        83    -.001109                                            
>                                                    
    -14        83    .0010583                                            
>                                       **       **  
    -13        83   -.0011289                                            
>                                                    
    -12        83   -.0050515                                            
>                                                    
    -11        83    .0042605                       *                   *
> **        *                           **       **  
    -10        83    .0081833                      **                    
> **                                     *        *  
     -9        83    .0133186       **     *       **                    
> **                                    **      ***  
     -8        83    .0053099                                            
>                                                    
     -7        83    .0054141                                            
>                                                 *  
     -6        83   -.0049741                                            
>                                                    
     -5        83    .0014867                                            
>                                                    
     -4        83   -.0004637                                            
>                                                    
     -3        83    .0147168       **    **      ***           *        
> **                                    **      ***  
     -2        83   -.0013447                      **                    
> **                                                 
     -1        83    .0374905      ***   ***       **                    
>                                                    
      0        83    .0097419                      **                    
>  *                                     *      ***  
      1        83    .0044803                                            
>                                                    
      2        83    .0229033      ***   ***      ***         ***       *
> **      ***       ***      ***       ***      ***  
      3        83    .0143998       **     *      ***           *        
> **                  *        *       ***      ***  
      4        83    .0163901      ***    **      ***         ***       *
> **      ***        **       **       ***      ***  
      5        83    .0065961                                            
>                                                    
      6        83   -.0121971       **                                   
>                                                **  
      7        83   -.0036895                                            
>                                        *           
      8        83   -.0005002                                            
>                                                    
      9        83    .0031039                       *                    
> **                                                 
     10        83   -.0063632                                            
>                                        *       **  

            t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ  
>  Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   W
> ilcox  
    [-12;-10]        83    .0073923                      **              
>                                                                        
>     *  
    [-13;-11]        83     -.00192                                      
>                                                                        
>        
    [-14;-12]        83   -.0051222                                      
>                                                                   *    
>        
    [-15;-13]        83   -.0011797                                      
>                                                                   *    
>        
    [-16;-14]        83    .0004739                                      
>                                                                        
>        
    [-17;-15]        83   -.0043919                                      
>                                                                        
>        
    [-18;-16]        83     -.02407      ***     *      ***         ***  
>      ***        *                                        *       **    
>   ***  
    [-19;-17]        83   -.0255193      ***    **      ***          **  
>      ***        *                                        *             
>   ***  
    [-20;-18]        83   -.0117631                                      
>                                                                        
>        
     [-20;10]        83    .1169861      ***   ***      ***         ***  
>      ***        *              **             **       ***      ***    
>   ***  
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  aarfile
Cumulative average abnormal returns:  Car_Diag_Pre_MinGRtop40pc
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Pre_MinGRtop40pc
Logfile:  Diag_Pre_MinGRtop40pc

. 
. 
. use "Car_Diag_Pre_MinGRtop40pc.dta", clear // This is the data for the 
> pre-negotiation period

. 
. drop if _n==10
(1 observation deleted)

. mmerge t using "Car_Diag_Negot_MinGRtop40pc", type(1:1) missing(nomatch
> ) // This is the data for the negotiation period 

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_Pre_MinGRtop40pc.dta
                 obs |      9
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_Negot_MinGRtop40pc.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_Pre_MinGRtop40pc.dta
                 obs |     19
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |      9  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. mmerge t using "Car_Diag_Post_MinGRtop40pc", type(1:1) missing(nomatch)
>  // This is the data for the post - negotiation period 

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_Pre_MinGRtop40pc.dta
                 obs |     19
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_Post_MinGRtop40pc.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_Pre_MinGRtop40pc.dta
                 obs |     29
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |     19  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. 
. gen tNum = ""
(29 missing values generated)

. replace tNum = usubstr(t, 1, ustrpos(t, ";") - 1)
variable tNum was str1 now str4
(29 real changes made)

. replace tNum = subinstr(tNum, "[", "",.) 
(29 real changes made)

. destring tNum, replace
tNum: all characters numeric; replaced as byte

. replace tNum = tNum+1
(29 real changes made)

. 
. order tNum, after(t)

. 
. replace CAARE = CAARE * 100
(29 real changes made)

. 
. // Corrado-Cowan CIs
. gen CILB = CAARE - 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. gen CIUB = CAARE + 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. 
. replace CILB = -10 if CILB<-10
(0 real changes made)

. replace CIUB = 20 if CIUB>20
(0 real changes made)

. 
. /// KP-Confidence Intervalls
> gen CILB_KP = CAARE - 1.96*(abs(CAARE/NCAAREKolari))

. gen CIUB_KP = CAARE + 1.96*(abs(CAARE/NCAAREKolari))

. 
. // BMP Test
. gen CILB_BMP = CAARE - 1.96*(abs(CAARE/NCAAREBoehmer))

. gen CIUB_BMP = CAARE + 1.96*(abs(CAARE/NCAAREBoehmer))

. 
. replace CILB_BMP = -10 if CILB_BMP<-10
(1 real change made)

. replace CIUB_BMP = 20 if CIUB_BMP>20
(1 real change made)

. 
. sort tNum

. 
. twoway line CAARE tNum, lcolor(red) lwidth(medthick) ///
> yscale(range(-10(5)20)) ylabel(-10(5)20) ///
> xlabel(-20(2)10) ///
> graphregion(color(white)) ///
> xtitle("Trading day to/from Monday 14/12/2015") ytitle("CAAR (in %)") /
> //
> legend(off) ///
> xline(-10, lcolor(black)) xline(0, lcolor(black)) ///
> yline(0, lcolor(black)) ///
> text(18 -15 "Pre-negotiation") ///
> text(18 -6 "Negotiation") ///
> text(18 5 "Post-negotiation") ///
> || rcap CILB_BMP CIUB_BMP tNum, lcolor(blue) 

. 
. graph export "${result}FigE4c.pdf", replace
(file /Users/myramohnen/Dropbox/EventStudy_Paris/JAERE/ConditionalAccept/
> RESULTS/FigE4c.pdf written in PDF format)

. 
. 
. use "Car_Diag_Pre_MinGRtop40pc.dta", clear // This is the data for the 
> pre-negotiation period

. 
. drop if _n==10
(1 observation deleted)

. mmerge t using "Car_Diag_Negot_MinGRtop40pc", type(1:1) missing(nomatch
> ) // This is the data for the negotiation period 

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_Pre_MinGRtop40pc.dta
                 obs |      9
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_Negot_MinGRtop40pc.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_Pre_MinGRtop40pc.dta
                 obs |     19
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |      9  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. mmerge t using "Car_Diag_Post_MinGRtop40pc", type(1:1) missing(nomatch)
>  // This is the data for the post - negotiation period 

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_Pre_MinGRtop40pc.dta
                 obs |     19
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_Post_MinGRtop40pc.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_Pre_MinGRtop40pc.dta
                 obs |     29
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |     19  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. 
. gen tNum = ""
(29 missing values generated)

. replace tNum = usubstr(t, 1, ustrpos(t, ";") - 1)
variable tNum was str1 now str4
(29 real changes made)

. replace tNum = subinstr(tNum, "[", "",.) 
(29 real changes made)

. destring tNum, replace
tNum: all characters numeric; replaced as byte

. replace tNum = tNum+1
(29 real changes made)

. 
. order tNum, after(t)

. 
. replace CAARE = CAARE * 100
(29 real changes made)

. 
. // Corrado-Cowan CIs
. gen CILB = CAARE - 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. gen CIUB = CAARE + 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. 
. replace CILB = -20 if CILB<-20
(0 real changes made)

. replace CIUB = 20 if CIUB>20
(0 real changes made)

. 
. /// KP-Confidence Intervalls
> gen CILB_KP = CAARE - 1.96*(abs(CAARE/NCAAREKolari))

. gen CIUB_KP = CAARE + 1.96*(abs(CAARE/NCAAREKolari))

. 
. replace CILB_KP = -20 if CILB_KP<-20
(1 real change made)

. replace CIUB_KP = 20 if CIUB_KP>20
(1 real change made)

. 
. // BMP Test
. gen CILB_BMP = CAARE - 1.96*(abs(CAARE/NCAAREBoehmer))

. gen CIUB_BMP = CAARE + 1.96*(abs(CAARE/NCAAREBoehmer))

. 
. sort tNum

. twoway line CAARE tNum, lcolor(red) lwidth(medthick) ///
> yscale(range(-20(5)20)) ylabel(-20(5)20) ///
> xlabel(-20(2)10) ///
> graphregion(color(white)) ///
> xtitle("Trading day to/from Monday 14/12/2015") ytitle("CAAR (in %)") /
> //
> legend(off) ///
> xline(-10, lcolor(black)) xline(0, lcolor(black)) ///
> yline(0, lcolor(black)) ///
> text(18 -15 "Pre-negotiation") ///
> text(18 -6 "Negotiation") ///
> text(18 5 "Post-negotiation") ///
> || rcap CILB_KP CIUB_KP tNum, lcolor(blue) 

. 
. graph export "${result}FigE5c.pdf", replace
(file /Users/myramohnen/Dropbox/EventStudy_Paris/JAERE/ConditionalAccept/
> RESULTS/FigE5c.pdf written in PDF format)

. 
. use "aarfile.dta", clear 

. 
. replace AARE = AARE * 100
(31 real changes made)

. 
. // Corrado-Cowan CIs
. gen CILB = AARE - 1.96*(abs(AARE/NAARECorrado))

. gen CIUB = AARE + 1.96*(abs(AARE/NAARECorrado))

. 
. replace CILB = -10 if CILB<-10
(1 real change made)

. replace CIUB = 20 if CIUB>20
(1 real change made)

. 
. twoway line AARE t, lcolor(red) lwidth(medthick) ///
> yscale(range(-10(5)20)) ylabel(-10(5)20) xlabel(-20(2)10) ///
> graphregion(color(white)) ///
> xtitle("Trading day to/from Monday 14/12/2015") ytitle("AAR (in %)") //
> /
> legend(off) ///
> xline(-10, lcolor(black)) xline(0, lcolor(black)) ///
> yline(0, lcolor(black)) ///
> text(18 -15 "Pre-negotiation") ///
> text(18 -6 "Negotiation") ///
> text(18 5 "Post-negotiation") ///
> || rcap CILB CIUB t, lcolor(blue) 

. 
. graph export "${result}FigE6c.pdf", replace
(file /Users/myramohnen/Dropbox/EventStudy_Paris/JAERE/ConditionalAccept/
> RESULTS/FigE6c.pdf written in PDF format)

. 
. /*=====================================================================
> =========*/
. /* Figures E4d, E5d, and E6d. Median */ 
. /*=====================================================================
> =========*/
. 
. use "List_US_MinGR_top5Xtile.dta", clear

. 
. eventstudy3 ISIN Date using Returns_US_MinGR_top5Xtile, returns(Return_
> Unadj) /// 
> car1LB(-1) car1UB(1) ///
> car2LB(0) car2UB(2) ///
> car3LB(1) car3UB(3) ///
> car4LB(2) car4UB(4) ///
> car5LB(3) car5UB(5) ///
> car6LB(4) car6UB(6) ///
> car7LB(5) car7UB(7) ///
> car8LB(6) car8UB(8) ///
> car9LB(7) car9UB(9) ///
> car10LB(8) car10UB(10) ///
> evwlb(-20)  evwub(10) eswlb(-121) eswub(-21) ///
> mod(FM) ///
> logreturns marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(M
> arket_ID) /// 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> garch archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_Post_MinGR_top5Xtile) ///
> crossfile(Cross_Post_MinGR_top5Xtile) ///
> carfile(Car_Diag_Post_MinGR_top5Xtile) ///
> aarfile(aarfile) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 22 events completed.
2 out of 22 events completed.
3 out of 22 events completed.
4 out of 22 events completed.
5 out of 22 events completed.
6 out of 22 events completed.
7 out of 22 events completed.
8 out of 22 events completed.
9 out of 22 events completed.
10 out of 22 events completed.
11 out of 22 events completed.
12 out of 22 events completed.
13 out of 22 events completed.
14 out of 22 events completed.
15 out of 22 events completed.
16 out of 22 events completed.
17 out of 22 events completed.
18 out of 22 events completed.
19 out of 22 events completed.
20 out of 22 events completed.
21 out of 22 events completed.
22 out of 22 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded


Number of events in the event file: 22
-- thereof: Number of events for which security identifiers and event dat
> es are available: 22
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 22
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 22

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        22    .0058769                                            
>                                                    
    -19        22   -.0029074                                            
>                                        *        *  
    -18        22   -.0131302       **    **      ***          **       *
> **       **         *        *                     
    -17        22    .0097416        *     *        *                    
>  *        *                                     *  
    -16        22    .0067925                      **           *        
> **       **         *        *        **        *  
    -15        22    .0012713                                            
>                                                    
    -14        22   -.0088934              *        *                   *
> **      ***        **      ***       ***      ***  
    -13        22   -.0065264                                            
>                                                    
    -12        22   -.0060647                                            
>                                                    
    -11        22   -.0015397                                            
>                                                    
    -10        22     .001927                                            
>                                                    
     -9        22    .0070241                                            
>                                                    
     -8        22   -.0062537                                            
>                                                    
     -7        22    .0066408                                            
>                                       **        *  
     -6        22   -.0129992       **    **        *           *       *
> **       **        **       **        **       **  
     -5        22   -.0039829                                            
>                                                    
     -4        22      .00681                                            
>                                                    
     -3        22    .0054409                                            
>                                                    
     -2        22    .0053619                                            
>                                                    
     -1        22    .0060082                                            
>                                                    
      0        22   -.0193608      ***   ***       **          **        
>                                                    
      1        22    .0027665                                            
>                                                    
      2        22    .0042742                                            
>                                                    
      3        22    .0113116       **    **       **          **       *
> **       **        **       **        **       **  
      4        22    .0148557      ***   ***       **          **       *
> **      ***        **       **        **       **  
      5        22    .0030779                                            
>                                                    
      6        22    .0005819                                            
>                                                    
      7        22     .004222                                            
>                                                    
      8        22    .0016659                                            
>                                                    
      9        22    .0093438        *     *                            *
> **       **         *       **                 **  
     10        22    .0014475                                            
>                                                    

         t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ   Bo
> ehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   Wilc
> ox  
    [-1;1]        22   -.0105861                                         
>                                                                        
>     
     [0;2]        22   -.0123201                       *           *     
>                                                                        
>     
     [1;3]        22    .0183523        *    **        *           *     
>                                             *                          
>     
     [2;4]        22    .0304415      ***   ***      ***         ***     
>   ***      ***             ***            ***       ***      ***      *
> **  
     [3;5]        22    .0292452      ***   ***      ***         ***     
>   ***      ***             ***            ***       ***      ***      *
> **  
     [4;6]        22    .0185155        *    **      ***         ***     
>   ***      ***              **             **        **      ***       
> **  
     [5;7]        22    .0078817                      **           *     
>                                                               **       
>     
     [6;8]        22    .0064698                       *                 
>     *                                                         **       
>     
     [7;9]        22    .0152317              *       **           *     
>   ***       **              **             **        **      ***      *
> **  
    [8;10]        22    .0124572                                         
>    **       **                                               ***       
>     
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  aarfile
Cumulative average abnormal returns:  Car_Diag_Post_MinGR_top5Xtile
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  Cross_Post_Min
> GR_top5Xtile
Diagnostic of events that are excluded:  Diag_Post_MinGR_top5Xtile
Logfile:  Diag_Post_MinGR_top5Xtile

. 
. use "List_US_MinGR_top5Xtile.dta", clear

. 
. eventstudy3 ISIN Date using Returns_US_MinGR_top5Xtile, returns(Return_
> Unadj) /// 
> car1LB(-2) car1UB(0) ///
> car2LB(-3) car2UB(-1) ///
> car3LB(-4) car3UB(-2) ///
> car4LB(-5) car4UB(-3) ///
> car5LB(-6) car5UB(-4) ///
> car6LB(-7) car6UB(-5) ///
> car7LB(-8) car7UB(-6) ///
> car8LB(-9) car8UB(-7) ///
> car9LB(-10) car9UB(-8) ///
> car10LB(-11) car10UB(-9)  ///
> evwlb(-20)  evwub(10) eswlb(-121) eswub(-21) ///
> mod(FM) ///
> logreturns ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> garch archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_Neg_MinGR_top5Xtile) crossfile(Cross_Neg_MinGR_top
> 5Xtile) carfile(Car_Diag_Neg_MinGR_top5Xtile) ///
> replace
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 22 events completed.
2 out of 22 events completed.
3 out of 22 events completed.
4 out of 22 events completed.
5 out of 22 events completed.
6 out of 22 events completed.
7 out of 22 events completed.
8 out of 22 events completed.
9 out of 22 events completed.
10 out of 22 events completed.
11 out of 22 events completed.
12 out of 22 events completed.
13 out of 22 events completed.
14 out of 22 events completed.
15 out of 22 events completed.
16 out of 22 events completed.
17 out of 22 events completed.
18 out of 22 events completed.
19 out of 22 events completed.
20 out of 22 events completed.
21 out of 22 events completed.
22 out of 22 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded


Number of events in the event file: 22
-- thereof: Number of events for which security identifiers and event dat
> es are available: 22
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 22
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 22

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        22    .0058769                                            
>                                                    
    -19        22   -.0029074                                            
>                                        *        *  
    -18        22   -.0131302       **    **      ***          **       *
> **       **         *        *                     
    -17        22    .0097416        *     *        *                    
>  *        *                                     *  
    -16        22    .0067925                      **           *        
> **       **         *        *        **        *  
    -15        22    .0012713                                            
>                                                    
    -14        22   -.0088934              *        *                   *
> **      ***        **      ***       ***      ***  
    -13        22   -.0065264                                            
>                                                    
    -12        22   -.0060647                                            
>                                                    
    -11        22   -.0015397                                            
>                                                    
    -10        22     .001927                                            
>                                                    
     -9        22    .0070241                                            
>                                                    
     -8        22   -.0062537                                            
>                                                    
     -7        22    .0066408                                            
>                                       **        *  
     -6        22   -.0129992       **    **        *           *       *
> **       **        **       **        **       **  
     -5        22   -.0039829                                            
>                                                    
     -4        22      .00681                                            
>                                                    
     -3        22    .0054409                                            
>                                                    
     -2        22    .0053619                                            
>                                                    
     -1        22    .0060082                                            
>                                                    
      0        22   -.0193608      ***   ***       **          **        
>                                                    
      1        22    .0027665                                            
>                                                    
      2        22    .0042742                                            
>                                                    
      3        22    .0113116       **    **       **          **       *
> **       **        **       **        **       **  
      4        22    .0148557      ***   ***       **          **       *
> **      ***        **       **        **       **  
      5        22    .0030779                                            
>                                                    
      6        22    .0005819                                            
>                                                    
      7        22     .004222                                            
>                                                    
      8        22    .0016659                                            
>                                                    
      9        22    .0093438        *     *                            *
> **       **         *       **                 **  
     10        22    .0014475                                            
>                                                    

           t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ   
> Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   Wi
> lcox  
      [-2;0]        22   -.0079907                                       
>                                                                        
>       
     [-3;-1]        22    .0168109        *     *        *               
>                                                                        
>    *  
     [-4;-2]        22    .0176127        *     *       **           *   
>                                                                        
>       
     [-5;-3]        22    .0082679                       *           *   
>                                                                        
>       
     [-6;-4]        22   -.0101722                                       
>                                                                        
>       
     [-7;-5]        22   -.0103413                                       
>                                                                        
>       
     [-8;-6]        22   -.0126121                       *           *   
>                                                         *              
>       
     [-9;-7]        22    .0074112                                       
>                                                                        
>       
    [-10;-8]        22    .0026974                                       
>                                                                        
>       
    [-11;-9]        22    .0074114                                       
>                                                                  *     
>       
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  aarfile
Cumulative average abnormal returns:  Car_Diag_Neg_MinGR_top5Xtile
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  Cross_Neg_MinG
> R_top5Xtile
Diagnostic of events that are excluded:  Diag_Neg_MinGR_top5Xtile
Logfile:  Diag_Neg_MinGR_top5Xtile

. 
. use "List_US_MinGR_top5Xtile.dta", clear

. 
. eventstudy3 ISIN Date using Returns_US_MinGR_top5Xtile, returns(Return_
> Unadj) /// 
> car1LB(-12) car1UB(-10) ///
> car2LB(-13) car2UB(-11) ///
> car3LB(-14) car3UB(-12) ///
> car4LB(-15) car4UB(-13) ///
> car5LB(-16) car5UB(-14) ///
> car6LB(-17) car6UB(-15) ///
> car7LB(-18) car7UB(-16) ///
> car8LB(-19) car8UB(-17) ///
> car9LB(-20) car9UB(-18)  ///
> evwlb(-20)  evwub(10) eswlb(-121) eswub(-21) ///
> mod(FM) ///
> logreturns ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> garch archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_Pre_MinGR_top5Xtile) crossfile(Cross_Pre_MinGR_top
> 5Xtile) carfile(Car_Diag_Pre_MinGR_top5Xtile) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 22 events completed.
2 out of 22 events completed.
3 out of 22 events completed.
4 out of 22 events completed.
5 out of 22 events completed.
6 out of 22 events completed.
7 out of 22 events completed.
8 out of 22 events completed.
9 out of 22 events completed.
10 out of 22 events completed.
11 out of 22 events completed.
12 out of 22 events completed.
13 out of 22 events completed.
14 out of 22 events completed.
15 out of 22 events completed.
16 out of 22 events completed.
17 out of 22 events completed.
18 out of 22 events completed.
19 out of 22 events completed.
20 out of 22 events completed.
21 out of 22 events completed.
22 out of 22 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded

Warning: Some CAR window definitions (options carXLB and carXUB) have bee
> n changed because they were outside the event window.

Number of events in the event file: 22
-- thereof: Number of events for which security identifiers and event dat
> es are available: 22
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 22
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 22

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        22    .0058769                                            
>                                                    
    -19        22   -.0029074                                            
>                                        *        *  
    -18        22   -.0131302       **    **      ***          **       *
> **       **         *        *                     
    -17        22    .0097416        *     *        *                    
>  *        *                                     *  
    -16        22    .0067925                      **           *        
> **       **         *        *        **        *  
    -15        22    .0012713                                            
>                                                    
    -14        22   -.0088934              *        *                   *
> **      ***        **      ***       ***      ***  
    -13        22   -.0065264                                            
>                                                    
    -12        22   -.0060647                                            
>                                                    
    -11        22   -.0015397                                            
>                                                    
    -10        22     .001927                                            
>                                                    
     -9        22    .0070241                                            
>                                                    
     -8        22   -.0062537                                            
>                                                    
     -7        22    .0066408                                            
>                                       **        *  
     -6        22   -.0129992       **    **        *           *       *
> **       **        **       **        **       **  
     -5        22   -.0039829                                            
>                                                    
     -4        22      .00681                                            
>                                                    
     -3        22    .0054409                                            
>                                                    
     -2        22    .0053619                                            
>                                                    
     -1        22    .0060082                                            
>                                                    
      0        22   -.0193608      ***   ***       **          **        
>                                                    
      1        22    .0027665                                            
>                                                    
      2        22    .0042742                                            
>                                                    
      3        22    .0113116       **    **       **          **       *
> **       **        **       **        **       **  
      4        22    .0148557      ***   ***       **          **       *
> **      ***        **       **        **       **  
      5        22    .0030779                                            
>                                                    
      6        22    .0005819                                            
>                                                    
      7        22     .004222                                            
>                                                    
      8        22    .0016659                                            
>                                                    
      9        22    .0093438        *     *                            *
> **       **         *       **                 **  
     10        22    .0014475                                            
>                                                    

            t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ  
>  Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   W
> ilcox  
    [-12;-10]        22   -.0056773                                      
>                                                                        
>        
    [-13;-11]        22   -.0141307                                      
>                                                                        
>        
    [-14;-12]        22   -.0214844       **    **      ***         ***  
>      ***      ***              **            ***       ***      ***    
>    **  
    [-15;-13]        22   -.0141484                                      
>                                 *             **         *        *    
>    **  
    [-16;-14]        22   -.0008296                                      
>                                                                        
>        
    [-17;-15]        22    .0178055        *     *      ***         ***  
>      ***      ***              **             **       ***      ***    
>    **  
    [-18;-16]        22     .003404                                      
>                                                                        
>        
    [-19;-17]        22   -.0062959                                      
>                                                                  **    
>        
    [-20;-18]        22   -.0101606                                      
>                                                                        
>        
     [-20;10]        22    .0347839                      **           *  
>                                                                        
>     *  
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  aarfile
Cumulative average abnormal returns:  Car_Diag_Pre_MinGR_top5Xtile
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  Cross_Pre_MinG
> R_top5Xtile
Diagnostic of events that are excluded:  Diag_Pre_MinGR_top5Xtile
Logfile:  Diag_Pre_MinGR_top5Xtile

. 
. use "Car_Diag_Pre_MinGR_top5Xtile.dta", clear // This is the data for t
> he pre-negotiation period

. 
. drop if _n==10
(1 observation deleted)

. mmerge t using "Car_Diag_Neg_MinGR_top5Xtile", type(1:1) missing(nomatc
> h) // This is the data for the negotiation period 

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_Pre_MinGR_top5Xtile.dta
                 obs |      9
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_Neg_MinGR_top5Xtile.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_Pre_MinGR_top5Xtile.dta
                 obs |     19
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |      9  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. mmerge t using "Car_Diag_Post_MinGR_top5Xtile", type(1:1) missing(nomat
> ch) // This is the data for the post - negotiation period 

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_Pre_MinGR_top5Xtile.dta
                 obs |     19
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_Post_MinGR_top5Xtile.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_Pre_MinGR_top5Xtile.dta
                 obs |     29
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |     19  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. 
. gen tNum = ""
(29 missing values generated)

. replace tNum = usubstr(t, 1, ustrpos(t, ";") - 1)
variable tNum was str1 now str4
(29 real changes made)

. replace tNum = subinstr(tNum, "[", "",.) 
(29 real changes made)

. destring tNum, replace
tNum: all characters numeric; replaced as byte

. replace tNum = tNum+1
(29 real changes made)

. 
. order tNum, after(t)

. 
. replace CAARE = CAARE * 100
(29 real changes made)

. 
. // Corrado-Cowan CIs
. gen CILB = CAARE - 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. gen CIUB = CAARE + 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. 
. replace CILB = -10 if CILB<-10
(1 real change made)

. replace CIUB = 20 if CIUB>20
(0 real changes made)

. 
. /// KP-Confidence Intervalls
> gen CILB_KP = CAARE - 1.96*(abs(CAARE/NCAAREKolari))

. gen CIUB_KP = CAARE + 1.96*(abs(CAARE/NCAAREKolari))

. 
. // BMP Test
. gen CILB_BMP = CAARE - 1.96*(abs(CAARE/NCAAREBoehmer))

. gen CIUB_BMP = CAARE + 1.96*(abs(CAARE/NCAAREBoehmer))

. 
. replace CILB_BMP = -10 if CILB_BMP<-10
(2 real changes made)

. replace CIUB_BMP = 20 if CIUB_BMP>20
(2 real changes made)

. 
. 
. sort tNum

. 
. twoway line CAARE tNum, lcolor(red) lwidth(medthick) ///
> yscale(range(-10(5)20)) ylabel(-10(5)20) ///
> xlabel(-20(2)10) ///
> graphregion(color(white)) ///
> xtitle("Trading day to/from Monday 14/12/2015") ytitle("CAAR (in %)") /
> //
> legend(off) ///
> xline(-10, lcolor(black)) xline(0, lcolor(black)) ///
> yline(0, lcolor(black)) ///
> text(18 -15 "Pre-negotiation") ///
> text(18 -6 "Negotiation") ///
> text(18 5 "Post-negotiation") ///
> || rcap CILB_BMP CIUB_BMP tNum, lcolor(blue) 

. 
. graph export "${result}FigE4d.pdf", replace
(file /Users/myramohnen/Dropbox/EventStudy_Paris/JAERE/ConditionalAccept/
> RESULTS/FigE4d.pdf written in PDF format)

. 
. 
. use "Car_Diag_Pre_MinGR_top5Xtile.dta", clear // This is the data for t
> he pre-negotiation period

. 
. drop if _n==10
(1 observation deleted)

. mmerge t using "Car_Diag_Neg_MinGR_top5Xtile", type(1:1) missing(nomatc
> h) // This is the data for the negotiation period 

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_Pre_MinGR_top5Xtile.dta
                 obs |      9
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_Neg_MinGR_top5Xtile.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_Pre_MinGR_top5Xtile.dta
                 obs |     19
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |      9  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. mmerge t using "Car_Diag_Post_MinGR_top5Xtile", type(1:1) missing(nomat
> ch) // This is the data for the post - negotiation period 

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_Pre_MinGR_top5Xtile.dta
                 obs |     19
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_Post_MinGR_top5Xtile.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_Pre_MinGR_top5Xtile.dta
                 obs |     29
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |     19  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. 
. gen tNum = ""
(29 missing values generated)

. replace tNum = usubstr(t, 1, ustrpos(t, ";") - 1)
variable tNum was str1 now str4
(29 real changes made)

. replace tNum = subinstr(tNum, "[", "",.) 
(29 real changes made)

. destring tNum, replace
tNum: all characters numeric; replaced as byte

. replace tNum = tNum+1
(29 real changes made)

. 
. order tNum, after(t)

. 
. replace CAARE = CAARE * 100
(29 real changes made)

. 
. // Corrado-Cowan CIs
. gen CILB = CAARE - 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. gen CIUB = CAARE + 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. 
. replace CILB = -20 if CILB<-20
(0 real changes made)

. replace CIUB = 30 if CIUB>30
(0 real changes made)

. 
. /// KP-Confidence Intervalls
> gen CILB_KP = CAARE - 1.96*(abs(CAARE/NCAAREKolari))

. gen CIUB_KP = CAARE + 1.96*(abs(CAARE/NCAAREKolari))

. 
. replace CILB_KP = -20 if CILB_KP<-20
(2 real changes made)

. replace CIUB_KP = 20 if CIUB_KP>20
(2 real changes made)

. 
. // BMP Test
. gen CILB_BMP = CAARE - 1.96*(abs(CAARE/NCAAREBoehmer))

. gen CIUB_BMP = CAARE + 1.96*(abs(CAARE/NCAAREBoehmer))

. 
. sort tNum

. twoway line CAARE tNum, lcolor(red) lwidth(medthick) ///
> yscale(range(-20(5)20)) ylabel(-20(5)20) ///
> xlabel(-20(2)10) ///
> graphregion(color(white)) ///
> xtitle("Trading day to/from Monday 14/12/2015") ytitle("CAAR (in %)") /
> //
> legend(off) ///
> xline(-10, lcolor(black)) xline(0, lcolor(black)) ///
> yline(0, lcolor(black)) ///
> text(18 -15 "Pre-negotiation") ///
> text(18 -6 "Negotiation") ///
> text(18 5 "Post-negotiation") ///
> || rcap CILB_KP CIUB_KP tNum, lcolor(blue) 

. 
. graph export "${result}FigE5d.pdf", replace
(file /Users/myramohnen/Dropbox/EventStudy_Paris/JAERE/ConditionalAccept/
> RESULTS/FigE5d.pdf written in PDF format)

. 
. use "aarfile.dta", clear 

. 
. replace AARE = AARE * 100
(31 real changes made)

. 
. // Corrado-Cowan CIs
. gen CILB = AARE - 1.96*(abs(AARE/NAARECorrado))

. gen CIUB = AARE + 1.96*(abs(AARE/NAARECorrado))

. 
. replace CILB = -10 if CILB<-10
(0 real changes made)

. replace CIUB = 20 if CIUB>20
(0 real changes made)

. 
. twoway line AARE t, lcolor(red) lwidth(medthick) ///
> yscale(range(-10(5)20)) ylabel(-10(5)20) xlabel(-20(2)10) ///
> graphregion(color(white)) ///
> xtitle("Trading day to/from Monday 14/12/2015") ytitle("AAR (in %)") //
> /
> legend(off) ///
> xline(-10, lcolor(black)) xline(0, lcolor(black)) ///
> yline(0, lcolor(black)) ///
> text(18 -15 "Pre-negotiation") ///
> text(18 -6 "Negotiation") ///
> text(18 5 "Post-negotiation") ///
> || rcap CILB CIUB t, lcolor(blue) 

. 
. graph export "${result}FigE6d.pdf", replace
(file /Users/myramohnen/Dropbox/EventStudy_Paris/JAERE/ConditionalAccept/
> RESULTS/FigE6d.pdf written in PDF format)

. 
. /*=====================================================================
> =========*/
. /* Figures E4e, E5e, and E6e. Any green between 2009-2013 */ 
. /*=====================================================================
> =========*/
. 
. use "List_EV2_US_MinGR_yes0913.dta", clear

. 
. eventstudy3 ISIN Date using Returns_EV2_US_MinGR_yes0913, returns(Retur
> n_Unadj) /// 
> car1LB(-1) car1UB(1) car2LB(0) car2UB(2) car3LB(1) car3UB(3) car4LB(2) 
> car4UB(4) car5LB(3) car5UB(5) ///
> car6LB(4) car6UB(6) car7LB(5) car7UB(7) car8LB(6) car8UB(8) car9LB(7) c
> ar9UB(9) car10LB(8) car10UB(10) ///
> evwlb(-20)  evwub(10) eswlb(-121) eswub(-21) mod(FM) logreturns ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> garch archoption(1) garchoption(1)  ///
> diagnosticsfile(Diag_POST_MinGR_yes0913) carfile(Car_Diag_POST_MinGR_ye
> s0913) ///
> aarfile(aarfile) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 249 events completed.
2 out of 249 events completed.
3 out of 249 events completed.
4 out of 249 events completed.
5 out of 249 events completed.
6 out of 249 events completed.
7 out of 249 events completed.
8 out of 249 events completed.
9 out of 249 events completed.
10 out of 249 events completed.
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35 out of 249 events completed.
36 out of 249 events completed.
37 out of 249 events completed.
38 out of 249 events completed.
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40 out of 249 events completed.
41 out of 249 events completed.
42 out of 249 events completed.
43 out of 249 events completed.
44 out of 249 events completed.
45 out of 249 events completed.
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47 out of 249 events completed.
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49 out of 249 events completed.
50 out of 249 events completed.
51 out of 249 events completed.
52 out of 249 events completed.
53 out of 249 events completed.
54 out of 249 events completed.
55 out of 249 events completed.
56 out of 249 events completed.
57 out of 249 events completed.
58 out of 249 events completed.
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60 out of 249 events completed.
61 out of 249 events completed.
62 out of 249 events completed.
63 out of 249 events completed.
64 out of 249 events completed.
65 out of 249 events completed.
66 out of 249 events completed.
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68 out of 249 events completed.
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72 out of 249 events completed.
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79 out of 249 events completed.
80 out of 249 events completed.
81 out of 249 events completed.
82 out of 249 events completed.
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84 out of 249 events completed.
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86 out of 249 events completed.
87 out of 249 events completed.
88 out of 249 events completed.
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90 out of 249 events completed.
91 out of 249 events completed.
92 out of 249 events completed.
93 out of 249 events completed.
94 out of 249 events completed.
95 out of 249 events completed.
96 out of 249 events completed.
97 out of 249 events completed.
98 out of 249 events completed.
99 out of 249 events completed.
100 out of 249 events completed.
101 out of 249 events completed.
102 out of 249 events completed.
103 out of 249 events completed.
104 out of 249 events completed.
105 out of 249 events completed.
106 out of 249 events completed.
107 out of 249 events completed.
108 out of 249 events completed.
109 out of 249 events completed.
110 out of 249 events completed.
111 out of 249 events completed.
112 out of 249 events completed.
113 out of 249 events completed.
114 out of 249 events completed.
115 out of 249 events completed.
116 out of 249 events completed.
117 out of 249 events completed.
118 out of 249 events completed.
119 out of 249 events completed.
120 out of 249 events completed.
121 out of 249 events completed.
122 out of 249 events completed.
123 out of 249 events completed.
124 out of 249 events completed.
125 out of 249 events completed.
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128 out of 249 events completed.
129 out of 249 events completed.
130 out of 249 events completed.
131 out of 249 events completed.
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133 out of 249 events completed.
134 out of 249 events completed.
135 out of 249 events completed.
136 out of 249 events completed.
137 out of 249 events completed.
138 out of 249 events completed.
139 out of 249 events completed.
140 out of 249 events completed.
141 out of 249 events completed.
142 out of 249 events completed.
143 out of 249 events completed.
144 out of 249 events completed.
145 out of 249 events completed.
146 out of 249 events completed.
147 out of 249 events completed.
148 out of 249 events completed.
149 out of 249 events completed.
150 out of 249 events completed.
151 out of 249 events completed.
152 out of 249 events completed.
153 out of 249 events completed.
154 out of 249 events completed.
155 out of 249 events completed.
156 out of 249 events completed.
157 out of 249 events completed.
158 out of 249 events completed.
159 out of 249 events completed.
160 out of 249 events completed.
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162 out of 249 events completed.
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165 out of 249 events completed.
166 out of 249 events completed.
167 out of 249 events completed.
168 out of 249 events completed.
169 out of 249 events completed.
170 out of 249 events completed.
171 out of 249 events completed.
172 out of 249 events completed.
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174 out of 249 events completed.
175 out of 249 events completed.
176 out of 249 events completed.
177 out of 249 events completed.
178 out of 249 events completed.
179 out of 249 events completed.
180 out of 249 events completed.
181 out of 249 events completed.
182 out of 249 events completed.
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184 out of 249 events completed.
185 out of 249 events completed.
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187 out of 249 events completed.
188 out of 249 events completed.
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190 out of 249 events completed.
191 out of 249 events completed.
192 out of 249 events completed.
193 out of 249 events completed.
194 out of 249 events completed.
195 out of 249 events completed.
196 out of 249 events completed.
197 out of 249 events completed.
198 out of 249 events completed.
199 out of 249 events completed.
200 out of 249 events completed.
201 out of 249 events completed.
202 out of 249 events completed.
203 out of 249 events completed.
204 out of 249 events completed.
205 out of 249 events completed.
206 out of 249 events completed.
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209 out of 249 events completed.
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212 out of 249 events completed.
213 out of 249 events completed.
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215 out of 249 events completed.
216 out of 249 events completed.
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218 out of 249 events completed.
219 out of 249 events completed.
220 out of 249 events completed.
221 out of 249 events completed.
222 out of 249 events completed.
223 out of 249 events completed.
224 out of 249 events completed.
225 out of 249 events completed.
226 out of 249 events completed.
227 out of 249 events completed.
228 out of 249 events completed.
229 out of 249 events completed.
230 out of 249 events completed.
231 out of 249 events completed.
232 out of 249 events completed.
233 out of 249 events completed.
234 out of 249 events completed.
235 out of 249 events completed.
236 out of 249 events completed.
237 out of 249 events completed.
238 out of 249 events completed.
239 out of 249 events completed.
240 out of 249 events completed.
241 out of 249 events completed.
242 out of 249 events completed.
243 out of 249 events completed.
244 out of 249 events completed.
245 out of 249 events completed.
246 out of 249 events completed.
247 out of 249 events completed.
248 out of 249 events completed.
249 out of 249 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded


Number of events in the event file: 250
-- thereof: Number of events for which security identifiers and event dat
> es are available: 250
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 250
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 249

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 1
Number of events with insufficient market index/factor return data: 1

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 1
Number of events with insufficient market/index factor return data: 1
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 1


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20       249    .0033595                     ***                    
> **                                   ***      ***  
    -19       249   -.0004694                                            
>  *                                     *           
    -18       249   -.0121312      ***    **      ***          **       *
> **       **        **       **       ***      ***  
    -17       249   -.0024356                                            
>                                                    
    -16       249    .0036949                     ***                   *
> **        *         *        *       ***      ***  
    -15       249   -.0016979                                            
>                                                    
    -14       249   -.0008185                                            
>                                      ***      ***  
    -13       249     .002068                                            
>                                                    
    -12       249     -.00343                                            
>                                        *           
    -11       249    .0034343                     ***                   *
> **                                   ***      ***  
    -10       249    .0057719        *            ***                   *
> **        *                          ***      ***  
     -9       249    .0051625        *                                   
>                                                    
     -8       249   -.0018638                     ***                    
> **                                                 
     -7       249     .004233                                            
>                                                **  
     -6       249    .0034894                                            
>                                                **  
     -5       249   -.0011387                                            
>                                       **           
     -4       249   -.0030771                                            
>                                                    
     -3       249    .0105135      ***    **      ***           *       *
> **        *         *                ***      ***  
     -2       249   -.0011312                     ***                    
> **                                                 
     -1       249    .0139686      ***   ***      ***                    
> **                                   ***       **  
      0       249   -.0027647                       *                    
>  *                                                 
      1       249    .0006863                                            
>                                                    
      2       249    .0117523      ***    **      ***         ***       *
> **       **        **       **       ***      ***  
      3       249    .0085809      ***     *      ***           *       *
> **                  *                ***      ***  
      4       249    .0041606                     ***                   *
> **                                    **       **  
      5       249    .0053143        *                                   
>                                                    
      6       249   -.0055531        *                                   
>                                                    
      7       249    .0041908                      **                   *
> **                                             **  
      8       249    .0015033                                            
> **                                              *  
      9       249   -.0000145                                            
>  *                                     *           
     10       249   -.0046063                       *                    
> **                                   ***      ***  

         t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ   Bo
> ehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   Wilc
> ox  
    [-1;1]       249    .0118903       **            ***                 
>                                                                        
>     
     [0;2]       249    .0096739       **            ***                 
>     *                                                                  
> **  
     [1;3]       249    .0210195      ***    **      ***         ***     
>   ***        *              **             **       ***        *      *
> **  
     [2;4]       249    .0244937      ***   ***      ***         ***     
>   ***      ***             ***             **       ***      ***      *
> **  
     [3;5]       249    .0180558      ***    **      ***         ***     
>   ***        *               *              *       ***       **      *
> **  
     [4;6]       249    .0039219                     ***           *     
>   ***                                                                  
>  *  
     [5;7]       249     .003952                     ***                 
>    **                                               ***                
>     
     [6;8]       249     .000141                     ***                 
>    **                                               ***                
>  *  
     [7;9]       249    .0056796                     ***                 
>   ***        *                                      ***       **      *
> **  
    [8;10]       249   -.0031175                                         
>                                                                        
>     
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  aarfile
Cumulative average abnormal returns:  Car_Diag_POST_MinGR_yes0913
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_POST_MinGR_yes0913
Logfile:  Diag_POST_MinGR_yes0913

. 
. use "List_EV2_US_MinGR_yes0913.dta", clear

. 
. eventstudy3 ISIN Date using Returns_EV2_US_MinGR_yes0913, returns(Retur
> n_Unadj) /// 
> car1LB(-2) car1UB(0) car2LB(-3) car2UB(-1) car3LB(-4) car3UB(-2) car4LB
> (-5) car4UB(-3) car5LB(-6) car5UB(-4) ///
> car6LB(-7) car6UB(-5) car7LB(-8) car7UB(-6) car8LB(-9) car8UB(-7) car9L
> B(-10) car9UB(-8) car10LB(-11) car10UB(-9)  ///
> evwlb(-20)  evwub(10) eswlb(-121) eswub(-21) mod(FM) logreturns ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> garch archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_Neg_MinGR_yes0913) carfile(Car_Diag_Neg_MinGR_yes0
> 913) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 249 events completed.
2 out of 249 events completed.
3 out of 249 events completed.
4 out of 249 events completed.
5 out of 249 events completed.
6 out of 249 events completed.
7 out of 249 events completed.
8 out of 249 events completed.
9 out of 249 events completed.
10 out of 249 events completed.
11 out of 249 events completed.
12 out of 249 events completed.
13 out of 249 events completed.
14 out of 249 events completed.
15 out of 249 events completed.
16 out of 249 events completed.
17 out of 249 events completed.
18 out of 249 events completed.
19 out of 249 events completed.
20 out of 249 events completed.
21 out of 249 events completed.
22 out of 249 events completed.
23 out of 249 events completed.
24 out of 249 events completed.
25 out of 249 events completed.
26 out of 249 events completed.
27 out of 249 events completed.
28 out of 249 events completed.
29 out of 249 events completed.
30 out of 249 events completed.
31 out of 249 events completed.
32 out of 249 events completed.
33 out of 249 events completed.
34 out of 249 events completed.
35 out of 249 events completed.
36 out of 249 events completed.
37 out of 249 events completed.
38 out of 249 events completed.
39 out of 249 events completed.
40 out of 249 events completed.
41 out of 249 events completed.
42 out of 249 events completed.
43 out of 249 events completed.
44 out of 249 events completed.
45 out of 249 events completed.
46 out of 249 events completed.
47 out of 249 events completed.
48 out of 249 events completed.
49 out of 249 events completed.
50 out of 249 events completed.
51 out of 249 events completed.
52 out of 249 events completed.
53 out of 249 events completed.
54 out of 249 events completed.
55 out of 249 events completed.
56 out of 249 events completed.
57 out of 249 events completed.
58 out of 249 events completed.
59 out of 249 events completed.
60 out of 249 events completed.
61 out of 249 events completed.
62 out of 249 events completed.
63 out of 249 events completed.
64 out of 249 events completed.
65 out of 249 events completed.
66 out of 249 events completed.
67 out of 249 events completed.
68 out of 249 events completed.
69 out of 249 events completed.
70 out of 249 events completed.
71 out of 249 events completed.
72 out of 249 events completed.
73 out of 249 events completed.
74 out of 249 events completed.
75 out of 249 events completed.
76 out of 249 events completed.
77 out of 249 events completed.
78 out of 249 events completed.
79 out of 249 events completed.
80 out of 249 events completed.
81 out of 249 events completed.
82 out of 249 events completed.
83 out of 249 events completed.
84 out of 249 events completed.
85 out of 249 events completed.
86 out of 249 events completed.
87 out of 249 events completed.
88 out of 249 events completed.
89 out of 249 events completed.
90 out of 249 events completed.
91 out of 249 events completed.
92 out of 249 events completed.
93 out of 249 events completed.
94 out of 249 events completed.
95 out of 249 events completed.
96 out of 249 events completed.
97 out of 249 events completed.
98 out of 249 events completed.
99 out of 249 events completed.
100 out of 249 events completed.
101 out of 249 events completed.
102 out of 249 events completed.
103 out of 249 events completed.
104 out of 249 events completed.
105 out of 249 events completed.
106 out of 249 events completed.
107 out of 249 events completed.
108 out of 249 events completed.
109 out of 249 events completed.
110 out of 249 events completed.
111 out of 249 events completed.
112 out of 249 events completed.
113 out of 249 events completed.
114 out of 249 events completed.
115 out of 249 events completed.
116 out of 249 events completed.
117 out of 249 events completed.
118 out of 249 events completed.
119 out of 249 events completed.
120 out of 249 events completed.
121 out of 249 events completed.
122 out of 249 events completed.
123 out of 249 events completed.
124 out of 249 events completed.
125 out of 249 events completed.
126 out of 249 events completed.
127 out of 249 events completed.
128 out of 249 events completed.
129 out of 249 events completed.
130 out of 249 events completed.
131 out of 249 events completed.
132 out of 249 events completed.
133 out of 249 events completed.
134 out of 249 events completed.
135 out of 249 events completed.
136 out of 249 events completed.
137 out of 249 events completed.
138 out of 249 events completed.
139 out of 249 events completed.
140 out of 249 events completed.
141 out of 249 events completed.
142 out of 249 events completed.
143 out of 249 events completed.
144 out of 249 events completed.
145 out of 249 events completed.
146 out of 249 events completed.
147 out of 249 events completed.
148 out of 249 events completed.
149 out of 249 events completed.
150 out of 249 events completed.
151 out of 249 events completed.
152 out of 249 events completed.
153 out of 249 events completed.
154 out of 249 events completed.
155 out of 249 events completed.
156 out of 249 events completed.
157 out of 249 events completed.
158 out of 249 events completed.
159 out of 249 events completed.
160 out of 249 events completed.
161 out of 249 events completed.
162 out of 249 events completed.
163 out of 249 events completed.
164 out of 249 events completed.
165 out of 249 events completed.
166 out of 249 events completed.
167 out of 249 events completed.
168 out of 249 events completed.
169 out of 249 events completed.
170 out of 249 events completed.
171 out of 249 events completed.
172 out of 249 events completed.
173 out of 249 events completed.
174 out of 249 events completed.
175 out of 249 events completed.
176 out of 249 events completed.
177 out of 249 events completed.
178 out of 249 events completed.
179 out of 249 events completed.
180 out of 249 events completed.
181 out of 249 events completed.
182 out of 249 events completed.
183 out of 249 events completed.
184 out of 249 events completed.
185 out of 249 events completed.
186 out of 249 events completed.
187 out of 249 events completed.
188 out of 249 events completed.
189 out of 249 events completed.
190 out of 249 events completed.
191 out of 249 events completed.
192 out of 249 events completed.
193 out of 249 events completed.
194 out of 249 events completed.
195 out of 249 events completed.
196 out of 249 events completed.
197 out of 249 events completed.
198 out of 249 events completed.
199 out of 249 events completed.
200 out of 249 events completed.
201 out of 249 events completed.
202 out of 249 events completed.
203 out of 249 events completed.
204 out of 249 events completed.
205 out of 249 events completed.
206 out of 249 events completed.
207 out of 249 events completed.
208 out of 249 events completed.
209 out of 249 events completed.
210 out of 249 events completed.
211 out of 249 events completed.
212 out of 249 events completed.
213 out of 249 events completed.
214 out of 249 events completed.
215 out of 249 events completed.
216 out of 249 events completed.
217 out of 249 events completed.
218 out of 249 events completed.
219 out of 249 events completed.
220 out of 249 events completed.
221 out of 249 events completed.
222 out of 249 events completed.
223 out of 249 events completed.
224 out of 249 events completed.
225 out of 249 events completed.
226 out of 249 events completed.
227 out of 249 events completed.
228 out of 249 events completed.
229 out of 249 events completed.
230 out of 249 events completed.
231 out of 249 events completed.
232 out of 249 events completed.
233 out of 249 events completed.
234 out of 249 events completed.
235 out of 249 events completed.
236 out of 249 events completed.
237 out of 249 events completed.
238 out of 249 events completed.
239 out of 249 events completed.
240 out of 249 events completed.
241 out of 249 events completed.
242 out of 249 events completed.
243 out of 249 events completed.
244 out of 249 events completed.
245 out of 249 events completed.
246 out of 249 events completed.
247 out of 249 events completed.
248 out of 249 events completed.
249 out of 249 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded


Number of events in the event file: 250
-- thereof: Number of events for which security identifiers and event dat
> es are available: 250
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 250
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 249

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 1
Number of events with insufficient market index/factor return data: 1

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 1
Number of events with insufficient market/index factor return data: 1
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 1


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20       249    .0033595                     ***                    
> **                                   ***      ***  
    -19       249   -.0004694                                            
>  *                                     *           
    -18       249   -.0121312      ***    **      ***          **       *
> **       **        **       **       ***      ***  
    -17       249   -.0024356                                            
>                                                    
    -16       249    .0036949                     ***                   *
> **        *         *        *       ***      ***  
    -15       249   -.0016979                                            
>                                                    
    -14       249   -.0008185                                            
>                                      ***      ***  
    -13       249     .002068                                            
>                                                    
    -12       249     -.00343                                            
>                                        *           
    -11       249    .0034343                     ***                   *
> **                                   ***      ***  
    -10       249    .0057719        *            ***                   *
> **        *                          ***      ***  
     -9       249    .0051625        *                                   
>                                                    
     -8       249   -.0018638                     ***                    
> **                                                 
     -7       249     .004233                                            
>                                                **  
     -6       249    .0034894                                            
>                                                **  
     -5       249   -.0011387                                            
>                                       **           
     -4       249   -.0030771                                            
>                                                    
     -3       249    .0105135      ***    **      ***           *       *
> **        *         *                ***      ***  
     -2       249   -.0011312                     ***                    
> **                                                 
     -1       249    .0139686      ***   ***      ***                    
> **                                   ***       **  
      0       249   -.0027647                       *                    
>  *                                                 
      1       249    .0006863                                            
>                                                    
      2       249    .0117523      ***    **      ***         ***       *
> **       **        **       **       ***      ***  
      3       249    .0085809      ***     *      ***           *       *
> **                  *                ***      ***  
      4       249    .0041606                     ***                   *
> **                                    **       **  
      5       249    .0053143        *                                   
>                                                    
      6       249   -.0055531        *                                   
>                                                    
      7       249    .0041908                      **                   *
> **                                             **  
      8       249    .0015033                                            
> **                                              *  
      9       249   -.0000145                                            
>  *                                     *           
     10       249   -.0046063                       *                    
> **                                   ***      ***  

           t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ   
> Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   Wi
> lcox  
      [-2;0]       249    .0100727       **                              
>                                                                        
>       
     [-3;-1]       249    .0233509      ***   ***      ***          **   
>     ***                                                 *              
>  ***  
     [-4;-2]       249    .0063052                                       
>                                                                        
>    *  
     [-5;-3]       249    .0062977                      **               
>       *                                               ***              
>  ***  
     [-6;-4]       249   -.0007264                                       
>                                                                        
>       
     [-7;-5]       249    .0065837                                       
>                                                         *              
>       
     [-8;-6]       249    .0058586                      **               
>                                                                        
>       
     [-9;-7]       249    .0075317                                       
>                                                                        
>       
    [-10;-8]       249    .0090706        *            ***               
>      **                                                                
>    *  
    [-11;-9]       249    .0143687      ***     *      ***          **   
>     ***       **               *              *       ***      ***     
>  ***  
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  aarfile
Cumulative average abnormal returns:  Car_Diag_Neg_MinGR_yes0913
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Neg_MinGR_yes0913
Logfile:  Diag_Neg_MinGR_yes0913

. 
. use "List_EV2_US_MinGR_yes0913.dta", clear

. 
. eventstudy3 ISIN Date using Returns_EV2_US_MinGR_yes0913, returns(Retur
> n_Unadj) /// 
> car1LB(-12) car1UB(-10) car2LB(-13) car2UB(-11) car3LB(-14) car3UB(-12)
>  car4LB(-15) car4UB(-13) car5LB(-16) car5UB(-14) ///
> car6LB(-17) car6UB(-15) car7LB(-18) car7UB(-16) car8LB(-19) car8UB(-17)
>  car9LB(-20) car9UB(-18) ///
> evwlb(-20)  evwub(10) eswlb(-121) eswub(-21) mod(FM) logreturns ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> garch archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_PRE_MinGR_yes0913) carfile(Car_Diag_PRE_MinGR_yes0
> 913) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 249 events completed.
2 out of 249 events completed.
3 out of 249 events completed.
4 out of 249 events completed.
5 out of 249 events completed.
6 out of 249 events completed.
7 out of 249 events completed.
8 out of 249 events completed.
9 out of 249 events completed.
10 out of 249 events completed.
11 out of 249 events completed.
12 out of 249 events completed.
13 out of 249 events completed.
14 out of 249 events completed.
15 out of 249 events completed.
16 out of 249 events completed.
17 out of 249 events completed.
18 out of 249 events completed.
19 out of 249 events completed.
20 out of 249 events completed.
21 out of 249 events completed.
22 out of 249 events completed.
23 out of 249 events completed.
24 out of 249 events completed.
25 out of 249 events completed.
26 out of 249 events completed.
27 out of 249 events completed.
28 out of 249 events completed.
29 out of 249 events completed.
30 out of 249 events completed.
31 out of 249 events completed.
32 out of 249 events completed.
33 out of 249 events completed.
34 out of 249 events completed.
35 out of 249 events completed.
36 out of 249 events completed.
37 out of 249 events completed.
38 out of 249 events completed.
39 out of 249 events completed.
40 out of 249 events completed.
41 out of 249 events completed.
42 out of 249 events completed.
43 out of 249 events completed.
44 out of 249 events completed.
45 out of 249 events completed.
46 out of 249 events completed.
47 out of 249 events completed.
48 out of 249 events completed.
49 out of 249 events completed.
50 out of 249 events completed.
51 out of 249 events completed.
52 out of 249 events completed.
53 out of 249 events completed.
54 out of 249 events completed.
55 out of 249 events completed.
56 out of 249 events completed.
57 out of 249 events completed.
58 out of 249 events completed.
59 out of 249 events completed.
60 out of 249 events completed.
61 out of 249 events completed.
62 out of 249 events completed.
63 out of 249 events completed.
64 out of 249 events completed.
65 out of 249 events completed.
66 out of 249 events completed.
67 out of 249 events completed.
68 out of 249 events completed.
69 out of 249 events completed.
70 out of 249 events completed.
71 out of 249 events completed.
72 out of 249 events completed.
73 out of 249 events completed.
74 out of 249 events completed.
75 out of 249 events completed.
76 out of 249 events completed.
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78 out of 249 events completed.
79 out of 249 events completed.
80 out of 249 events completed.
81 out of 249 events completed.
82 out of 249 events completed.
83 out of 249 events completed.
84 out of 249 events completed.
85 out of 249 events completed.
86 out of 249 events completed.
87 out of 249 events completed.
88 out of 249 events completed.
89 out of 249 events completed.
90 out of 249 events completed.
91 out of 249 events completed.
92 out of 249 events completed.
93 out of 249 events completed.
94 out of 249 events completed.
95 out of 249 events completed.
96 out of 249 events completed.
97 out of 249 events completed.
98 out of 249 events completed.
99 out of 249 events completed.
100 out of 249 events completed.
101 out of 249 events completed.
102 out of 249 events completed.
103 out of 249 events completed.
104 out of 249 events completed.
105 out of 249 events completed.
106 out of 249 events completed.
107 out of 249 events completed.
108 out of 249 events completed.
109 out of 249 events completed.
110 out of 249 events completed.
111 out of 249 events completed.
112 out of 249 events completed.
113 out of 249 events completed.
114 out of 249 events completed.
115 out of 249 events completed.
116 out of 249 events completed.
117 out of 249 events completed.
118 out of 249 events completed.
119 out of 249 events completed.
120 out of 249 events completed.
121 out of 249 events completed.
122 out of 249 events completed.
123 out of 249 events completed.
124 out of 249 events completed.
125 out of 249 events completed.
126 out of 249 events completed.
127 out of 249 events completed.
128 out of 249 events completed.
129 out of 249 events completed.
130 out of 249 events completed.
131 out of 249 events completed.
132 out of 249 events completed.
133 out of 249 events completed.
134 out of 249 events completed.
135 out of 249 events completed.
136 out of 249 events completed.
137 out of 249 events completed.
138 out of 249 events completed.
139 out of 249 events completed.
140 out of 249 events completed.
141 out of 249 events completed.
142 out of 249 events completed.
143 out of 249 events completed.
144 out of 249 events completed.
145 out of 249 events completed.
146 out of 249 events completed.
147 out of 249 events completed.
148 out of 249 events completed.
149 out of 249 events completed.
150 out of 249 events completed.
151 out of 249 events completed.
152 out of 249 events completed.
153 out of 249 events completed.
154 out of 249 events completed.
155 out of 249 events completed.
156 out of 249 events completed.
157 out of 249 events completed.
158 out of 249 events completed.
159 out of 249 events completed.
160 out of 249 events completed.
161 out of 249 events completed.
162 out of 249 events completed.
163 out of 249 events completed.
164 out of 249 events completed.
165 out of 249 events completed.
166 out of 249 events completed.
167 out of 249 events completed.
168 out of 249 events completed.
169 out of 249 events completed.
170 out of 249 events completed.
171 out of 249 events completed.
172 out of 249 events completed.
173 out of 249 events completed.
174 out of 249 events completed.
175 out of 249 events completed.
176 out of 249 events completed.
177 out of 249 events completed.
178 out of 249 events completed.
179 out of 249 events completed.
180 out of 249 events completed.
181 out of 249 events completed.
182 out of 249 events completed.
183 out of 249 events completed.
184 out of 249 events completed.
185 out of 249 events completed.
186 out of 249 events completed.
187 out of 249 events completed.
188 out of 249 events completed.
189 out of 249 events completed.
190 out of 249 events completed.
191 out of 249 events completed.
192 out of 249 events completed.
193 out of 249 events completed.
194 out of 249 events completed.
195 out of 249 events completed.
196 out of 249 events completed.
197 out of 249 events completed.
198 out of 249 events completed.
199 out of 249 events completed.
200 out of 249 events completed.
201 out of 249 events completed.
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203 out of 249 events completed.
204 out of 249 events completed.
205 out of 249 events completed.
206 out of 249 events completed.
207 out of 249 events completed.
208 out of 249 events completed.
209 out of 249 events completed.
210 out of 249 events completed.
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212 out of 249 events completed.
213 out of 249 events completed.
214 out of 249 events completed.
215 out of 249 events completed.
216 out of 249 events completed.
217 out of 249 events completed.
218 out of 249 events completed.
219 out of 249 events completed.
220 out of 249 events completed.
221 out of 249 events completed.
222 out of 249 events completed.
223 out of 249 events completed.
224 out of 249 events completed.
225 out of 249 events completed.
226 out of 249 events completed.
227 out of 249 events completed.
228 out of 249 events completed.
229 out of 249 events completed.
230 out of 249 events completed.
231 out of 249 events completed.
232 out of 249 events completed.
233 out of 249 events completed.
234 out of 249 events completed.
235 out of 249 events completed.
236 out of 249 events completed.
237 out of 249 events completed.
238 out of 249 events completed.
239 out of 249 events completed.
240 out of 249 events completed.
241 out of 249 events completed.
242 out of 249 events completed.
243 out of 249 events completed.
244 out of 249 events completed.
245 out of 249 events completed.
246 out of 249 events completed.
247 out of 249 events completed.
248 out of 249 events completed.
249 out of 249 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded

Warning: Some CAR window definitions (options carXLB and carXUB) have bee
> n changed because they were outside the event window.

Number of events in the event file: 250
-- thereof: Number of events for which security identifiers and event dat
> es are available: 250
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 250
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 249

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 1
Number of events with insufficient market index/factor return data: 1

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 1
Number of events with insufficient market/index factor return data: 1
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 1


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20       249    .0033595                     ***                    
> **                                   ***      ***  
    -19       249   -.0004694                                            
>  *                                     *           
    -18       249   -.0121312      ***    **      ***          **       *
> **       **        **       **       ***      ***  
    -17       249   -.0024356                                            
>                                                    
    -16       249    .0036949                     ***                   *
> **        *         *        *       ***      ***  
    -15       249   -.0016979                                            
>                                                    
    -14       249   -.0008185                                            
>                                      ***      ***  
    -13       249     .002068                                            
>                                                    
    -12       249     -.00343                                            
>                                        *           
    -11       249    .0034343                     ***                   *
> **                                   ***      ***  
    -10       249    .0057719        *            ***                   *
> **        *                          ***      ***  
     -9       249    .0051625        *                                   
>                                                    
     -8       249   -.0018638                     ***                    
> **                                                 
     -7       249     .004233                                            
>                                                **  
     -6       249    .0034894                                            
>                                                **  
     -5       249   -.0011387                                            
>                                       **           
     -4       249   -.0030771                                            
>                                                    
     -3       249    .0105135      ***    **      ***           *       *
> **        *         *                ***      ***  
     -2       249   -.0011312                     ***                    
> **                                                 
     -1       249    .0139686      ***   ***      ***                    
> **                                   ***       **  
      0       249   -.0027647                       *                    
>  *                                                 
      1       249    .0006863                                            
>                                                    
      2       249    .0117523      ***    **      ***         ***       *
> **       **        **       **       ***      ***  
      3       249    .0085809      ***     *      ***           *       *
> **                  *                ***      ***  
      4       249    .0041606                     ***                   *
> **                                    **       **  
      5       249    .0053143        *                                   
>                                                    
      6       249   -.0055531        *                                   
>                                                    
      7       249    .0041908                      **                   *
> **                                             **  
      8       249    .0015033                                            
> **                                              *  
      9       249   -.0000145                                            
>  *                                     *           
     10       249   -.0046063                       *                    
> **                                   ***      ***  

            t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ  
>  Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   W
> ilcox  
    [-12;-10]       249    .0057762                     ***              
>      ***                                               ***        *    
>   ***  
    [-13;-11]       249    .0020723                       *              
>                                                                        
>        
    [-14;-12]       249   -.0021805                                      
>                                                                        
>    **  
    [-15;-13]       249   -.0004484                                      
>                                                         **             
>    **  
    [-16;-14]       249    .0011784                     ***              
>      ***                                                 *             
>        
    [-17;-15]       249   -.0004387                     ***              
>      ***                                                **             
>     *  
    [-18;-16]       249    -.010872       **            ***              
>      ***                                                               
>        
    [-19;-17]       249   -.0150363      ***     *      ***              
>      ***                                                               
>   ***  
    [-20;-18]       249   -.0092412       **                             
>                                                                        
>        
     [-20;10]       249    .0507519      ***     *      ***         ***  
>      ***                                               ***       **    
>   ***  
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  aarfile
Cumulative average abnormal returns:  Car_Diag_PRE_MinGR_yes0913
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_PRE_MinGR_yes0913
Logfile:  Diag_PRE_MinGR_yes0913

. 
. 
. use "Car_Diag_PRE_MinGR_yes0913.dta", clear // This is the data for the
>  pre-negotiation period

. 
. drop if _n==10
(1 observation deleted)

. mmerge t using "Car_Diag_Neg_MinGR_yes0913", type(1:1) missing(nomatch)
>  // This is the data for the negotiation period 

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_PRE_MinGR_yes0913.dta
                 obs |      9
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_Neg_MinGR_yes0913.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_PRE_MinGR_yes0913.dta
                 obs |     19
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |      9  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. mmerge t using "Car_Diag_POST_MinGR_yes0913", type(1:1) missing(nomatch
> ) // This is the data for the post - negotiation period 

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_PRE_MinGR_yes0913.dta
                 obs |     19
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_POST_MinGR_yes0913.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_PRE_MinGR_yes0913.dta
                 obs |     29
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |     19  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. 
. gen tNum = ""
(29 missing values generated)

. replace tNum = usubstr(t, 1, ustrpos(t, ";") - 1)
variable tNum was str1 now str4
(29 real changes made)

. replace tNum = subinstr(tNum, "[", "",.) 
(29 real changes made)

. destring tNum, replace
tNum: all characters numeric; replaced as byte

. replace tNum = tNum+1
(29 real changes made)

. 
. order tNum, after(t)

. 
. replace CAARE = CAARE * 100
(29 real changes made)

. 
. // Corrado-Cowan CIs
. gen CILB = CAARE - 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. gen CIUB = CAARE + 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. 
. replace CILB = -10 if CILB<-10
(2 real changes made)

. replace CIUB = 10 if CIUB>10
(3 real changes made)

. 
. /// KP-Confidence Intervalls
> gen CILB_KP = CAARE - 1.96*(abs(CAARE/NCAAREKolari))

. gen CIUB_KP = CAARE + 1.96*(abs(CAARE/NCAAREKolari))

. 
. // BMP Test
. gen CILB_BMP = CAARE - 1.96*(abs(CAARE/NCAAREBoehmer))

. gen CIUB_BMP = CAARE + 1.96*(abs(CAARE/NCAAREBoehmer))

. 
. replace CILB_BMP = -10 if CILB_BMP<-10
(0 real changes made)

. replace CIUB_BMP = 10 if CIUB_BMP>10
(0 real changes made)

. 
. sort tNum

. 
. twoway line CAARE tNum, lcolor(red) lwidth(medthick) ///
> yscale(range(-10(5)10)) ylabel(-10(5)10) ///
> xlabel(-20(2)10) ///
> graphregion(color(white)) ///
> xtitle("Trading day to/from Monday 14/12/2015") ytitle("CAAR (in %)") /
> //
> legend(off) ///
> xline(-10, lcolor(black)) xline(0, lcolor(black)) ///
> yline(0, lcolor(black)) ///
> text(8 -15 "Pre-negotiation") ///
> text(8 -6 "Negotiation") ///
> text(8 5 "Post-negotiation") ///
> || rcap CILB_BMP CIUB_BMP tNum, lcolor(blue) 

. 
. graph export "${result}FigE4e.pdf", replace
(file /Users/myramohnen/Dropbox/EventStudy_Paris/JAERE/ConditionalAccept/
> RESULTS/FigE4e.pdf written in PDF format)

. 
. use "Car_Diag_PRE_MinGR_yes0913.dta", clear // This is the data for the
>  pre-negotiation period

. 
. drop if _n==10
(1 observation deleted)

. mmerge t using "Car_Diag_Neg_MinGR_yes0913", type(1:1) missing(nomatch)
>  // This is the data for the negotiation period 

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_PRE_MinGR_yes0913.dta
                 obs |      9
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_Neg_MinGR_yes0913.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_PRE_MinGR_yes0913.dta
                 obs |     19
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |      9  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. mmerge t using "Car_Diag_POST_MinGR_yes0913", type(1:1) missing(nomatch
> ) // This is the data for the post - negotiation period 

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_PRE_MinGR_yes0913.dta
                 obs |     19
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_POST_MinGR_yes0913.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_PRE_MinGR_yes0913.dta
                 obs |     29
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |     19  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. 
. gen tNum = ""
(29 missing values generated)

. replace tNum = usubstr(t, 1, ustrpos(t, ";") - 1)
variable tNum was str1 now str4
(29 real changes made)

. replace tNum = subinstr(tNum, "[", "",.) 
(29 real changes made)

. destring tNum, replace
tNum: all characters numeric; replaced as byte

. replace tNum = tNum+1
(29 real changes made)

. 
. order tNum, after(t)

. 
. replace CAARE = CAARE * 100
(29 real changes made)

. 
. // Corrado-Cowan CIs
. gen CILB = CAARE - 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. gen CIUB = CAARE + 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. 
. replace CILB = -20 if CILB<-20
(2 real changes made)

. replace CIUB = 30 if CIUB>30
(2 real changes made)

. 
. /// KP-Confidence Intervalls
> gen CILB_KP = CAARE - 1.96*(abs(CAARE/NCAAREKolari))

. gen CIUB_KP = CAARE + 1.96*(abs(CAARE/NCAAREKolari))

. 
. replace CILB_KP = -20 if CILB_KP<-20
(0 real changes made)

. replace CIUB_KP = 20 if CIUB_KP>20
(0 real changes made)

. 
. // BMP Test
. gen CILB_BMP = CAARE - 1.96*(abs(CAARE/NCAAREBoehmer))

. gen CIUB_BMP = CAARE + 1.96*(abs(CAARE/NCAAREBoehmer))

. 
. sort tNum

. twoway line CAARE tNum, lcolor(red) lwidth(medthick) ///
> yscale(range(-20(5)20)) ylabel(-20(5)20) ///
> xlabel(-20(2)10) ///
> graphregion(color(white)) ///
> xtitle("Trading day to/from Monday 14/12/2015") ytitle("CAAR (in %)") /
> //
> legend(off) ///
> xline(-10, lcolor(black)) xline(0, lcolor(black)) ///
> yline(0, lcolor(black)) ///
> text(18 -15 "Pre-negotiation") ///
> text(18 -6 "Negotiation") ///
> text(18 5 "Post-negotiation") ///
> || rcap CILB_KP CIUB_KP tNum, lcolor(blue) 

. 
. graph export "${result}FigE5e.pdf", replace
(file /Users/myramohnen/Dropbox/EventStudy_Paris/JAERE/ConditionalAccept/
> RESULTS/FigE5e.pdf written in PDF format)

. 
. use "aarfile.dta", clear 

. 
. replace AARE = AARE * 100
(31 real changes made)

. 
. // Corrado-Cowan CIs
. gen CILB = AARE - 1.96*(abs(AARE/NAARECorrado))

. gen CIUB = AARE + 1.96*(abs(AARE/NAARECorrado))

. 
. replace CILB = -10 if CILB<-10
(1 real change made)

. replace CIUB = 20 if CIUB>20
(0 real changes made)

. 
. twoway line AARE t, lcolor(red) lwidth(medthick) ///
> yscale(range(-10(5)20)) ylabel(-10(5)20) xlabel(-20(2)10) ///
> graphregion(color(white)) ///
> xtitle("Trading day to/from Monday 14/12/2015") ytitle("AAR (in %)") //
> /
> legend(off) ///
> xline(-10, lcolor(black)) xline(0, lcolor(black)) ///
> yline(0, lcolor(black)) ///
> text(18 -15 "Pre-negotiation") ///
> text(18 -6 "Negotiation") ///
> text(18 5 "Post-negotiation") ///
> || rcap CILB CIUB t, lcolor(blue) 

. 
. graph export "${result}FigE6e.pdf", replace
(file /Users/myramohnen/Dropbox/EventStudy_Paris/JAERE/ConditionalAccept/
> RESULTS/FigE6e.pdf written in PDF format)

. 
. /*=====================================================================
> =========*/
. /* Figures E4f, E5f and E6f. Top 30% excluding SIC 491 */ 
. /*=====================================================================
> =========*/
. 
. use "List_US_MinGR_top8Xtile_Excl491.dta", clear

. 
. eventstudy3 ISIN Date using Returns_US_MinGR_top8Xtile_Excl491, returns
> (Return_Unadj) /// 
> car1LB(-1) car1UB(1) car2LB(0) car2UB(2) car3LB(1) car3UB(3) car4LB(2) 
> car4UB(4) car5LB(3) car5UB(5) ///
> car6LB(4) car6UB(6) car7LB(5) car7UB(7) car8LB(6) car8UB(8) car9LB(7) c
> ar9UB(9) car10LB(8) car10UB(10) ///
> evwlb(-20)  evwub(10) eswlb(-121) eswub(-21) mod(FM) logreturns ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> garch archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_Post_MinGR_top8Xtile_Excl491) carfile(Car_Diag_Pos
> t_MinGR_top8Xtile_Excl491) ///
> aarfile(aarfile) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 40 events completed.
2 out of 40 events completed.
3 out of 40 events completed.
4 out of 40 events completed.
5 out of 40 events completed.
6 out of 40 events completed.
7 out of 40 events completed.
8 out of 40 events completed.
9 out of 40 events completed.
10 out of 40 events completed.
11 out of 40 events completed.
12 out of 40 events completed.
13 out of 40 events completed.
14 out of 40 events completed.
15 out of 40 events completed.
16 out of 40 events completed.
17 out of 40 events completed.
18 out of 40 events completed.
19 out of 40 events completed.
20 out of 40 events completed.
21 out of 40 events completed.
22 out of 40 events completed.
23 out of 40 events completed.
24 out of 40 events completed.
25 out of 40 events completed.
26 out of 40 events completed.
27 out of 40 events completed.
28 out of 40 events completed.
29 out of 40 events completed.
30 out of 40 events completed.
31 out of 40 events completed.
32 out of 40 events completed.
33 out of 40 events completed.
34 out of 40 events completed.
35 out of 40 events completed.
36 out of 40 events completed.
37 out of 40 events completed.
38 out of 40 events completed.
39 out of 40 events completed.
40 out of 40 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded


Number of events in the event file: 40
-- thereof: Number of events for which security identifiers and event dat
> es are available: 40
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 40
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 40

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        40    .0061571                                            
>                                                    
    -19        40    .0023514                                            
>                                                    
    -18        40   -.0136224        *     *      ***          **       *
> **       **        **       **        **      ***  
    -17        40   -.0019634                                            
>                                                    
    -16        40    .0055082                       *                    
> **                                    **        *  
    -15        40    .0004398                                            
>                                                    
    -14        40    .0098275                                            
>                                                    
    -13        40    -.002635                                            
>                                                    
    -12        40     .003201                                            
>                                                    
    -11        40    .0032274                                            
>  *                                                 
    -10        40    .0154221        *     *      ***           *        
> **        *         *        *        **       **  
     -9        40    .0060931                                            
>                                                    
     -8        40   -.0024882                                            
>                                                    
     -7        40    .0057677                                            
>                                                    
     -6        40   -.0069617                                            
>  *                                                 
     -5        40   -.0031841                                            
>                                                    
     -4        40    .0021573                                            
>                                                    
     -3        40    -.001234                                            
>                                                    
     -2        40    .0018408                       *                    
>                                                    
     -1        40    -.008835                                            
>                                                    
      0        40     .009103                                            
>                                                 *  
      1        40    .0024385                                            
>                                                    
      2        40    .0198565       **    **      ***         ***       *
> **      ***       ***      ***       ***      ***  
      3        40    .0080677                                            
>                                       **           
      4        40    .0117198                     ***          **        
> **                  *                           *  
      5        40    .0151095        *     *                             
>                                        *        *  
      6        40   -.0099959                                            
>                                                    
      7        40    .0026909                                            
>                                                    
      8        40   -.0004228                                            
>                                                    
      9        40   -.0030996                                            
>                                                    
     10        40   -.0040827                                            
>                                                    

         t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ   Bo
> ehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   Wilc
> ox  
    [-1;1]        40    .0027065                                         
>                                                                        
>     
     [0;2]        40    .0313979       **    **      ***         ***     
>    **        *              **             **       ***      ***      *
> **  
     [1;3]        40    .0303626       **    **      ***         ***     
>   ***        *             ***             **       ***      ***      *
> **  
     [2;4]        40    .0396439      ***   ***      ***         ***     
>   ***       **             ***            ***       ***      ***      *
> **  
     [3;5]        40    .0348969      ***    **      ***          **     
>    **                       **             **        **        *      *
> **  
     [4;6]        40    .0168333                     ***         ***     
>   ***        *               *                                **       
>     
     [5;7]        40    .0078045                                         
>                                                                *       
>     
     [6;8]        40   -.0077278                                         
>                                                                        
>     
     [7;9]        40   -.0008315                                         
>                                                                        
>     
    [8;10]        40    -.007605                                         
>                                                                        
>     
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  aarfile
Cumulative average abnormal returns:  Car_Diag_Post_MinGR_top8Xtile_Excl4
> 91
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Post_MinGR_top8Xtile_Excl49
> 1
Logfile:  Diag_Post_MinGR_top8Xtile_Excl491

. 
. use "List_US_MinGR_top8Xtile_Excl491.dta", clear

. 
. eventstudy3 ISIN Date using Returns_US_MinGR_top8Xtile_Excl491, returns
> (Return_Unadj) /// 
> car1LB(-2) car1UB(0) car2LB(-3) car2UB(-1) car3LB(-4) car3UB(-2) car4LB
> (-5) car4UB(-3) car5LB(-6) car5UB(-4) ///
> car6LB(-7) car6UB(-5) car7LB(-8) car7UB(-6) car8LB(-9) car8UB(-7) car9L
> B(-10) car9UB(-8) car10LB(-11) car10UB(-9)  ///
> evwlb(-20)  evwub(10) eswlb(-121) eswub(-21) mod(FM) logreturns ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> garch archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_Negot_MinGR_top8Xtile_Excl491) carfile(Car_Diag_Ne
> got_MinGR_top8Xtile_Excl491) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 40 events completed.
2 out of 40 events completed.
3 out of 40 events completed.
4 out of 40 events completed.
5 out of 40 events completed.
6 out of 40 events completed.
7 out of 40 events completed.
8 out of 40 events completed.
9 out of 40 events completed.
10 out of 40 events completed.
11 out of 40 events completed.
12 out of 40 events completed.
13 out of 40 events completed.
14 out of 40 events completed.
15 out of 40 events completed.
16 out of 40 events completed.
17 out of 40 events completed.
18 out of 40 events completed.
19 out of 40 events completed.
20 out of 40 events completed.
21 out of 40 events completed.
22 out of 40 events completed.
23 out of 40 events completed.
24 out of 40 events completed.
25 out of 40 events completed.
26 out of 40 events completed.
27 out of 40 events completed.
28 out of 40 events completed.
29 out of 40 events completed.
30 out of 40 events completed.
31 out of 40 events completed.
32 out of 40 events completed.
33 out of 40 events completed.
34 out of 40 events completed.
35 out of 40 events completed.
36 out of 40 events completed.
37 out of 40 events completed.
38 out of 40 events completed.
39 out of 40 events completed.
40 out of 40 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded


Number of events in the event file: 40
-- thereof: Number of events for which security identifiers and event dat
> es are available: 40
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 40
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 40

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        40    .0061571                                            
>                                                    
    -19        40    .0023514                                            
>                                                    
    -18        40   -.0136224        *     *      ***          **       *
> **       **        **       **        **      ***  
    -17        40   -.0019634                                            
>                                                    
    -16        40    .0055082                       *                    
> **                                    **        *  
    -15        40    .0004398                                            
>                                                    
    -14        40    .0098275                                            
>                                                    
    -13        40    -.002635                                            
>                                                    
    -12        40     .003201                                            
>                                                    
    -11        40    .0032274                                            
>  *                                                 
    -10        40    .0154221        *     *      ***           *        
> **        *         *        *        **       **  
     -9        40    .0060931                                            
>                                                    
     -8        40   -.0024882                                            
>                                                    
     -7        40    .0057677                                            
>                                                    
     -6        40   -.0069617                                            
>  *                                                 
     -5        40   -.0031841                                            
>                                                    
     -4        40    .0021573                                            
>                                                    
     -3        40    -.001234                                            
>                                                    
     -2        40    .0018408                       *                    
>                                                    
     -1        40    -.008835                                            
>                                                    
      0        40     .009103                                            
>                                                 *  
      1        40    .0024385                                            
>                                                    
      2        40    .0198565       **    **      ***         ***       *
> **      ***       ***      ***       ***      ***  
      3        40    .0080677                                            
>                                       **           
      4        40    .0117198                     ***          **        
> **                  *                           *  
      5        40    .0151095        *     *                             
>                                        *        *  
      6        40   -.0099959                                            
>                                                    
      7        40    .0026909                                            
>                                                    
      8        40   -.0004228                                            
>                                                    
      9        40   -.0030996                                            
>                                                    
     10        40   -.0040827                                            
>                                                    

           t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ   
> Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   Wi
> lcox  
      [-2;0]        40    .0021087                     ***           *   
>      **                                                                
>       
     [-3;-1]        40   -.0082282                       *               
>                                                                        
>       
     [-4;-2]        40    .0027641                                       
>                                                                        
>       
     [-5;-3]        40   -.0022607                                       
>                                                                        
>       
     [-6;-4]        40   -.0079885                                       
>                                                                        
>       
     [-7;-5]        40   -.0043781                                       
>                                                                        
>       
     [-8;-6]        40   -.0036823                                       
>                                                                        
>       
     [-9;-7]        40    .0093726                                       
>                                                                        
>       
    [-10;-8]        40     .019027                      **               
>       *                                                          *     
>    *  
    [-11;-9]        40    .0247426       **     *      ***          **   
>     ***       **              **             **       ***      ***     
>  ***  
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  aarfile
Cumulative average abnormal returns:  Car_Diag_Negot_MinGR_top8Xtile_Excl
> 491
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Negot_MinGR_top8Xtile_Excl4
> 91
Logfile:  Diag_Negot_MinGR_top8Xtile_Excl491

. 
. use "List_US_MinGR_top8Xtile_Excl491.dta", clear

. 
. eventstudy3 ISIN Date using Returns_US_MinGR_top8Xtile_Excl491, returns
> (Return_Unadj) /// 
> car1LB(-12) car1UB(-10) car2LB(-13) car2UB(-11) car3LB(-14) car3UB(-12)
>  car4LB(-15) car4UB(-13) car5LB(-16) car5UB(-14) ///
> car6LB(-17) car6UB(-15) car7LB(-18) car7UB(-16) car8LB(-19) car8UB(-17)
>  car9LB(-20) car9UB(-18)  ///
> evwlb(-20)  evwub(10) eswlb(-121) eswub(-21) mod(FM) logreturns ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> garch archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_Pre_MinGR_top8Xtile_Excl491) carfile(Car_Diag_Pre_
> MinGR_top8Xtile_Excl491) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 40 events completed.
2 out of 40 events completed.
3 out of 40 events completed.
4 out of 40 events completed.
5 out of 40 events completed.
6 out of 40 events completed.
7 out of 40 events completed.
8 out of 40 events completed.
9 out of 40 events completed.
10 out of 40 events completed.
11 out of 40 events completed.
12 out of 40 events completed.
13 out of 40 events completed.
14 out of 40 events completed.
15 out of 40 events completed.
16 out of 40 events completed.
17 out of 40 events completed.
18 out of 40 events completed.
19 out of 40 events completed.
20 out of 40 events completed.
21 out of 40 events completed.
22 out of 40 events completed.
23 out of 40 events completed.
24 out of 40 events completed.
25 out of 40 events completed.
26 out of 40 events completed.
27 out of 40 events completed.
28 out of 40 events completed.
29 out of 40 events completed.
30 out of 40 events completed.
31 out of 40 events completed.
32 out of 40 events completed.
33 out of 40 events completed.
34 out of 40 events completed.
35 out of 40 events completed.
36 out of 40 events completed.
37 out of 40 events completed.
38 out of 40 events completed.
39 out of 40 events completed.
40 out of 40 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded

Warning: Some CAR window definitions (options carXLB and carXUB) have bee
> n changed because they were outside the event window.

Number of events in the event file: 40
-- thereof: Number of events for which security identifiers and event dat
> es are available: 40
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 40
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 40

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        40    .0061571                                            
>                                                    
    -19        40    .0023514                                            
>                                                    
    -18        40   -.0136224        *     *      ***          **       *
> **       **        **       **        **      ***  
    -17        40   -.0019634                                            
>                                                    
    -16        40    .0055082                       *                    
> **                                    **        *  
    -15        40    .0004398                                            
>                                                    
    -14        40    .0098275                                            
>                                                    
    -13        40    -.002635                                            
>                                                    
    -12        40     .003201                                            
>                                                    
    -11        40    .0032274                                            
>  *                                                 
    -10        40    .0154221        *     *      ***           *        
> **        *         *        *        **       **  
     -9        40    .0060931                                            
>                                                    
     -8        40   -.0024882                                            
>                                                    
     -7        40    .0057677                                            
>                                                    
     -6        40   -.0069617                                            
>  *                                                 
     -5        40   -.0031841                                            
>                                                    
     -4        40    .0021573                                            
>                                                    
     -3        40    -.001234                                            
>                                                    
     -2        40    .0018408                       *                    
>                                                    
     -1        40    -.008835                                            
>                                                    
      0        40     .009103                                            
>                                                 *  
      1        40    .0024385                                            
>                                                    
      2        40    .0198565       **    **      ***         ***       *
> **      ***       ***      ***       ***      ***  
      3        40    .0080677                                            
>                                       **           
      4        40    .0117198                     ***          **        
> **                  *                           *  
      5        40    .0151095        *     *                             
>                                        *        *  
      6        40   -.0099959                                            
>                                                    
      7        40    .0026909                                            
>                                                    
      8        40   -.0004228                                            
>                                                    
      9        40   -.0030996                                            
>                                                    
     10        40   -.0040827                                            
>                                                    

            t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ  
>  Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   W
> ilcox  
    [-12;-10]        40    .0218505        *            ***          **  
>      ***       **              **             **       ***       **    
>    **  
    [-13;-11]        40    .0037935                                      
>                                                                        
>        
    [-14;-12]        40    .0103936                                      
>                                                                        
>        
    [-15;-13]        40    .0076324                                      
>                                                          *             
>        
    [-16;-14]        40    .0157755                     ***           *  
>        *                                                          *    
>        
    [-17;-15]        40    .0039847                       *              
>        *                                                 *        *    
>        
    [-18;-16]        40   -.0100776                       *              
>        *                                                         **    
>        
    [-19;-17]        40   -.0132343                                      
>                                                                        
>     *  
    [-20;-18]        40   -.0051139                                      
>                                                                        
>        
     [-20;10]        40    .0724545        *            ***          **  
>        *                        *              *        **             
>    **  
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  aarfile
Cumulative average abnormal returns:  Car_Diag_Pre_MinGR_top8Xtile_Excl49
> 1
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Pre_MinGR_top8Xtile_Excl491
Logfile:  Diag_Pre_MinGR_top8Xtile_Excl491

. 
. 
. use "Car_Diag_Pre_MinGR_top8Xtile_Excl491.dta", clear // This is the da
> ta for the pre-negotiation period

. 
. drop if _n==10
(1 observation deleted)

. mmerge t using "Car_Diag_Negot_MinGR_top8Xtile_Excl491", type(1:1) miss
> ing(nomatch) // This is the data for the negotiation period 

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_Pre_MinGR_top8Xtile_Excl491.dta
                 obs |      9
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_Negot_MinGR_top8Xtile_Excl491.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_Pre_MinGR_top8Xtile_Excl491.dta
                 obs |     19
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |      9  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. mmerge t using "Car_Diag_Post_MinGR_top8Xtile_Excl491", type(1:1) missi
> ng(nomatch) // This is the data for the post - negotiation period 

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_Pre_MinGR_top8Xtile_Excl491.dta
                 obs |     19
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_Post_MinGR_top8Xtile_Excl491.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_Pre_MinGR_top8Xtile_Excl491.dta
                 obs |     29
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |     19  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. 
. gen tNum = ""
(29 missing values generated)

. replace tNum = usubstr(t, 1, ustrpos(t, ";") - 1)
variable tNum was str1 now str4
(29 real changes made)

. replace tNum = subinstr(tNum, "[", "",.) 
(29 real changes made)

. destring tNum, replace
tNum: all characters numeric; replaced as byte

. replace tNum = tNum+1
(29 real changes made)

. 
. order tNum, after(t)

. 
. replace CAARE = CAARE * 100
(29 real changes made)

. 
. // Corrado-Cowan CIs
. gen CILB = CAARE - 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. gen CIUB = CAARE + 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. 
. /// KP-Confidence Intervalls
> gen CILB_KP = CAARE - 1.96*(abs(CAARE/NCAAREKolari))

. gen CIUB_KP = CAARE + 1.96*(abs(CAARE/NCAAREKolari))

. 
. // BMP Test
. gen CILB_BMP = CAARE - 1.96*(abs(CAARE/NCAAREBoehmer))

. gen CIUB_BMP = CAARE + 1.96*(abs(CAARE/NCAAREBoehmer))

. 
. replace CILB_BMP = -10 if CILB_BMP<-10
(2 real changes made)

. replace CIUB_BMP = 10 if CIUB_BMP>10
(2 real changes made)

. 
. sort tNum

. 
. twoway line CAARE tNum, lcolor(red) lwidth(medthick) ///
> yscale(range(-10(5)10)) ylabel(-10(5)10) ///
> xlabel(-20(2)10) ///
> graphregion(color(white)) ///
> xtitle("Trading day to/from Monday 14/12/2015") ytitle("CAAR (in %)") /
> //
> legend(off) ///
> xline(-10, lcolor(black)) xline(0, lcolor(black)) ///
> yline(0, lcolor(black)) ///
> text(8 -15 "Pre-negotiation") ///
> text(8 -6 "Negotiation") ///
> text(8 5 "Post-negotiation") ///
> || rcap CILB_BMP CIUB_BMP tNum, lcolor(blue) 

. 
. graph export "${result}FigE4f.pdf", replace
(file /Users/myramohnen/Dropbox/EventStudy_Paris/JAERE/ConditionalAccept/
> RESULTS/FigE4f.pdf written in PDF format)

. 
. use "Car_Diag_Pre_MinGR_top8Xtile_Excl491.dta", clear // This is the da
> ta for the pre-negotiation period

. 
. drop if _n==10
(1 observation deleted)

. mmerge t using "Car_Diag_Negot_MinGR_top8Xtile_Excl491", type(1:1) miss
> ing(nomatch) // This is the data for the negotiation period 

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_Pre_MinGR_top8Xtile_Excl491.dta
                 obs |      9
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_Negot_MinGR_top8Xtile_Excl491.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_Pre_MinGR_top8Xtile_Excl491.dta
                 obs |     19
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |      9  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. mmerge t using "Car_Diag_POST_MinGR_top8Xtile_Excl491", type(1:1) missi
> ng(nomatch) // This is the data for the post - negotiation period 

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_Pre_MinGR_top8Xtile_Excl491.dta
                 obs |     19
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_POST_MinGR_top8Xtile_Excl491.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_Pre_MinGR_top8Xtile_Excl491.dta
                 obs |     29
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |     19  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. 
. gen tNum = ""
(29 missing values generated)

. replace tNum = usubstr(t, 1, ustrpos(t, ";") - 1)
variable tNum was str1 now str4
(29 real changes made)

. replace tNum = subinstr(tNum, "[", "",.) 
(29 real changes made)

. destring tNum, replace
tNum: all characters numeric; replaced as byte

. replace tNum = tNum+1
(29 real changes made)

. 
. order tNum, after(t)

. 
. replace CAARE = CAARE * 100
(29 real changes made)

. 
. // Corrado-Cowan CIs
. gen CILB = CAARE - 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. gen CIUB = CAARE + 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. 
. replace CILB = -20 if CILB<-20
(0 real changes made)

. replace CIUB = 20 if CIUB>20
(0 real changes made)

. 
. /// KP-Confidence Intervalls
> gen CILB_KP = CAARE - 1.96*(abs(CAARE/NCAAREKolari))

. gen CIUB_KP = CAARE + 1.96*(abs(CAARE/NCAAREKolari))

. 
. replace CILB_KP = -20 if CILB_KP<-20
(2 real changes made)

. replace CIUB_KP = 20 if CIUB_KP>20
(2 real changes made)

. 
. // BMP Test
. gen CILB_BMP = CAARE - 1.96*(abs(CAARE/NCAAREBoehmer))

. gen CIUB_BMP = CAARE + 1.96*(abs(CAARE/NCAAREBoehmer))

. 
. sort tNum

. twoway line CAARE tNum, lcolor(red) lwidth(medthick) ///
> yscale(range(-20(5)20)) ylabel(-20(5)20) ///
> xlabel(-20(2)10) ///
> graphregion(color(white)) ///
> xtitle("Trading day to/from Monday 14/12/2015") ytitle("CAAR (in %)") /
> //
> legend(off) ///
> xline(-10, lcolor(black)) xline(0, lcolor(black)) ///
> yline(0, lcolor(black)) ///
> text(18 -15 "Pre-negotiation") ///
> text(18 -6 "Negotiation") ///
> text(18 5 "Post-negotiation") ///
> || rcap CILB_KP CIUB_KP tNum, lcolor(blue) 

. 
. graph export "${result}FigE5f.pdf", replace
(file /Users/myramohnen/Dropbox/EventStudy_Paris/JAERE/ConditionalAccept/
> RESULTS/FigE5f.pdf written in PDF format)

. 
. use "aarfile.dta", clear 

. 
. replace AARE = AARE * 100
(31 real changes made)

. 
. // Corrado-Cowan CIs
. gen CILB = AARE - 1.96*(abs(AARE/NAARECorrado))

. gen CIUB = AARE + 1.96*(abs(AARE/NAARECorrado))

. 
. replace CILB = -10 if CILB<-10
(1 real change made)

. replace CIUB = 10 if CIUB>10
(1 real change made)

. 
. twoway line AARE t, lcolor(red) lwidth(medthick) ///
> yscale(range(-10(5)10)) ylabel(-10(5)10) xlabel(-20(2)10) ///
> graphregion(color(white)) ///
> xtitle("Trading day to/from Monday 14/12/2015") ytitle("AAR (in %)") //
> /
> legend(off) ///
> xline(-10, lcolor(black)) xline(0, lcolor(black)) ///
> yline(0, lcolor(black)) ///
> text(8 -15 "Pre-negotiation") ///
> text(8 -6 "Negotiation") ///
> text(8 5 "Post-negotiation") ///
> || rcap CILB CIUB t, lcolor(blue) 

. 
. graph export "${result}FigE6f.pdf", replace
(file /Users/myramohnen/Dropbox/EventStudy_Paris/JAERE/ConditionalAccept/
> RESULTS/FigE6f.pdf written in PDF format)

. 
. /*=====================================================================
> =========*/
. /* Figure E.7 : Random non-green firms */
. /*=====================================================================
> =========*/
. 
. use "List_PA_random", clear

. 
. eventstudy3 ISIN Date using Returns_PA_random, returns(Return_Unadj) //
> / 
> mod(FM) /// Fama French model 
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) /// factors
> riskfreerate(RFNum) /// risk free 
> evwlb(-20) /// event window lower bound
> evwub(10) /// event window upper bound 
> eswlb(-121) /// estimation window lower bound 
> eswub(-21) /// estimation window upper bound 
> logreturns /// log returns
> car1LB(-12) car1UB(-10) /// CAR window 1 bounds
> car2LB(-13) car2UB(-11) /// CAR window 2 bounds
> car3LB(-14) car3UB(-12) /// CAR window 3 bounds
> car4LB(-15) car4UB(-13) /// CAR window 4 bounds
> car5LB(-16) car5UB(-14) /// CAR window 5 bounds
> car6LB(-17) car6UB(-15) /// CAR window 6 bounds
> car7LB(-18) car7UB(-16) /// CAR window 7 bounds
> car8LB(-19) car8UB(-17) /// CAR window 8 bounds
> car9LB(-20) car9UB(-18) /// CAR window 9 bounds
> archoption(1) garchoption(1) /// ARCH option GARCH option
> diagnosticsfile(Diag_Pre_MinGR_top8Xtile) /// output diagnostic 
> carfile(Car_Diag_Pre_MinGR_top8Xtile) /// output cumulative average abn
> ormal return file
> aarfile(AAR) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 89 events completed.
2 out of 89 events completed.
3 out of 89 events completed.
4 out of 89 events completed.
5 out of 89 events completed.
6 out of 89 events completed.
7 out of 89 events completed.
8 out of 89 events completed.
9 out of 89 events completed.
10 out of 89 events completed.
11 out of 89 events completed.
12 out of 89 events completed.
13 out of 89 events completed.
14 out of 89 events completed.
15 out of 89 events completed.
16 out of 89 events completed.
17 out of 89 events completed.
18 out of 89 events completed.
19 out of 89 events completed.
20 out of 89 events completed.
21 out of 89 events completed.
22 out of 89 events completed.
23 out of 89 events completed.
24 out of 89 events completed.
25 out of 89 events completed.
26 out of 89 events completed.
27 out of 89 events completed.
28 out of 89 events completed.
29 out of 89 events completed.
30 out of 89 events completed.
31 out of 89 events completed.
32 out of 89 events completed.
33 out of 89 events completed.
34 out of 89 events completed.
35 out of 89 events completed.
36 out of 89 events completed.
37 out of 89 events completed.
38 out of 89 events completed.
39 out of 89 events completed.
40 out of 89 events completed.
41 out of 89 events completed.
42 out of 89 events completed.
43 out of 89 events completed.
44 out of 89 events completed.
45 out of 89 events completed.
46 out of 89 events completed.
47 out of 89 events completed.
48 out of 89 events completed.
49 out of 89 events completed.
50 out of 89 events completed.
51 out of 89 events completed.
52 out of 89 events completed.
53 out of 89 events completed.
54 out of 89 events completed.
55 out of 89 events completed.
56 out of 89 events completed.
57 out of 89 events completed.
58 out of 89 events completed.
59 out of 89 events completed.
60 out of 89 events completed.
61 out of 89 events completed.
62 out of 89 events completed.
63 out of 89 events completed.
64 out of 89 events completed.
65 out of 89 events completed.
66 out of 89 events completed.
67 out of 89 events completed.
68 out of 89 events completed.
69 out of 89 events completed.
70 out of 89 events completed.
71 out of 89 events completed.
72 out of 89 events completed.
73 out of 89 events completed.
74 out of 89 events completed.
75 out of 89 events completed.
76 out of 89 events completed.
77 out of 89 events completed.
78 out of 89 events completed.
79 out of 89 events completed.
80 out of 89 events completed.
81 out of 89 events completed.
82 out of 89 events completed.
83 out of 89 events completed.
84 out of 89 events completed.
85 out of 89 events completed.
86 out of 89 events completed.
87 out of 89 events completed.
88 out of 89 events completed.
89 out of 89 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded

Warning: Some CAR window definitions (options carXLB and carXUB) have bee
> n changed because they were outside the event window.

Number of events in the event file: 96
-- thereof: Number of events for which security identifiers and event dat
> es are available: 96
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 96
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 89

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 7
Number of events with insufficient market index/factor return data: 4

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 1
Number of events with insufficient market/index factor return data: 1
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 4


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        86    .0013989                                            
>                                                    
    -19        86   -.0062513                                            
>                                                    
    -18        87    .0040102                                            
>                                                    
    -17        87   -.0073777                                            
>                                                 *  
    -16        87   -.0016112                                            
>                                        *           
    -15        87   -.0086172        *                                   
>                                                 *  
    -14        86    .0007499                                            
>                                                    
    -13        84   -.0090275        *            ***         ***        
> **        *        **                 **       **  
    -12        81    -.004655                                            
>                                                    
    -11        83   -.0006088                                            
>                                        *           
    -10        83    .0090492        *              *           *        
> **        *        **       **       ***       **  
     -9        86   -.0066408                                            
>                                                    
     -8        87   -.0006664                                            
>                                                    
     -7        83    .0024717                                            
>                                                    
     -6        83    -.004855                                            
>                                                    
     -5        88   -.0081485        *             **          **        
> **        *                            *        *  
     -4        89    -.004306                                            
>                                                    
     -3        89    .0021838                      **          **        
>                                                    
     -2        89    .0060553                       *                    
>  *                                                 
     -1        86   -.0020721                                            
>  *        *                           **        *  
      0        86   -.0107797       **            ***         ***       *
> **       **        **        *       ***      ***  
      1        85   -.0018081                                            
>                                                    
      2        88    .0047408                                            
>                              *        **       **  
      3        88   -.0131134      ***     *                             
>                                                 *  
      4        89    .0078731        *                                   
>                                        *       **  
      5        87    .0029299                                            
>                                                    
      6        84   -.0034621                                            
>                                        *        *  
      7        86    .0011367                                            
>                                                    
      8        88   -.0008823                                            
>                                                    
      9        82   -.0139026      ***     *                             
>                                                    
     10        82   -.0025722                                            
>                                      ***       **  

            t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ  
>  Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   W
> ilcox  
    [-12;-10]        84    .0001834                                      
>                                                          *             
>        
    [-13;-11]        81   -.0172512       **            ***         ***  
>        *        *                                               ***    
>        
    [-14;-12]        81   -.0167539       **            ***         ***  
>       **        *                                                      
>        
    [-15;-13]        86   -.0197501       **            ***         ***  
>      ***      ***               *                      ***      ***    
>    **  
    [-16;-14]        84   -.0085816                                      
>                                                                        
>        
    [-17;-15]        85   -.0165643       **                             
>                                                                        
>        
    [-18;-16]        87   -.0049787                                      
>                                                                        
>        
    [-19;-17]        86   -.0095048                       *              
>                                                                 ***    
>        
    [-20;-18]        86   -.0006103                                      
>                                                                        
>        
     [-20;10]        88    -.067627       **            ***         ***  
>                                                         **      ***    
>    **  
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  AAR
Cumulative average abnormal returns:  Car_Diag_Pre_MinGR_top8Xtile
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Pre_MinGR_top8Xtile
Logfile:  Diag_Pre_MinGR_top8Xtile

. 
. use "List_PA_random", clear

. 
. eventstudy3 ISIN Date using Returns_PA_random, returns(Return_Unadj) //
> / 
> mod(FM) ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> evwlb(-20) evwub(10) ///
> eswlb(-121) eswub(-21) ///
> logreturns ///
> car1LB(-2) car1UB(0) ///
> car2LB(-3) car2UB(-1) ///
> car3LB(-4) car3UB(-2) ///
> car4LB(-5) car4UB(-3) ///
> car5LB(-6) car5UB(-4) ///
> car6LB(-7) car6UB(-5) ///
> car7LB(-8) car7UB(-6) ///
> car8LB(-9) car8UB(-7) ///
> car9LB(-10) car9UB(-8) ///
> car10LB(-11) car10UB(-9) ///
> archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_Neg_MinGR_top8Xtile) ///
> carfile(Car_Diag_Neg_MinGR_top8Xtile) ///
> aarfile(AAR_neg) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 89 events completed.
2 out of 89 events completed.
3 out of 89 events completed.
4 out of 89 events completed.
5 out of 89 events completed.
6 out of 89 events completed.
7 out of 89 events completed.
8 out of 89 events completed.
9 out of 89 events completed.
10 out of 89 events completed.
11 out of 89 events completed.
12 out of 89 events completed.
13 out of 89 events completed.
14 out of 89 events completed.
15 out of 89 events completed.
16 out of 89 events completed.
17 out of 89 events completed.
18 out of 89 events completed.
19 out of 89 events completed.
20 out of 89 events completed.
21 out of 89 events completed.
22 out of 89 events completed.
23 out of 89 events completed.
24 out of 89 events completed.
25 out of 89 events completed.
26 out of 89 events completed.
27 out of 89 events completed.
28 out of 89 events completed.
29 out of 89 events completed.
30 out of 89 events completed.
31 out of 89 events completed.
32 out of 89 events completed.
33 out of 89 events completed.
34 out of 89 events completed.
35 out of 89 events completed.
36 out of 89 events completed.
37 out of 89 events completed.
38 out of 89 events completed.
39 out of 89 events completed.
40 out of 89 events completed.
41 out of 89 events completed.
42 out of 89 events completed.
43 out of 89 events completed.
44 out of 89 events completed.
45 out of 89 events completed.
46 out of 89 events completed.
47 out of 89 events completed.
48 out of 89 events completed.
49 out of 89 events completed.
50 out of 89 events completed.
51 out of 89 events completed.
52 out of 89 events completed.
53 out of 89 events completed.
54 out of 89 events completed.
55 out of 89 events completed.
56 out of 89 events completed.
57 out of 89 events completed.
58 out of 89 events completed.
59 out of 89 events completed.
60 out of 89 events completed.
61 out of 89 events completed.
62 out of 89 events completed.
63 out of 89 events completed.
64 out of 89 events completed.
65 out of 89 events completed.
66 out of 89 events completed.
67 out of 89 events completed.
68 out of 89 events completed.
69 out of 89 events completed.
70 out of 89 events completed.
71 out of 89 events completed.
72 out of 89 events completed.
73 out of 89 events completed.
74 out of 89 events completed.
75 out of 89 events completed.
76 out of 89 events completed.
77 out of 89 events completed.
78 out of 89 events completed.
79 out of 89 events completed.
80 out of 89 events completed.
81 out of 89 events completed.
82 out of 89 events completed.
83 out of 89 events completed.
84 out of 89 events completed.
85 out of 89 events completed.
86 out of 89 events completed.
87 out of 89 events completed.
88 out of 89 events completed.
89 out of 89 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded


Number of events in the event file: 96
-- thereof: Number of events for which security identifiers and event dat
> es are available: 96
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 96
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 89

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 7
Number of events with insufficient market index/factor return data: 4

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 1
Number of events with insufficient market/index factor return data: 1
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 4


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        86    .0013989                                            
>                                                    
    -19        86   -.0062513                                            
>                                                    
    -18        87    .0040102                                            
>                                                    
    -17        87   -.0073777                                            
>                                                 *  
    -16        87   -.0016112                                            
>                                        *           
    -15        87   -.0086172        *                                   
>                                                 *  
    -14        86    .0007499                                            
>                                                    
    -13        84   -.0090275        *            ***         ***        
> **        *        **                 **       **  
    -12        81    -.004655                                            
>                                                    
    -11        83   -.0006088                                            
>                                        *           
    -10        83    .0090492        *              *           *        
> **        *        **       **       ***       **  
     -9        86   -.0066408                                            
>                                                    
     -8        87   -.0006664                                            
>                                                    
     -7        83    .0024717                                            
>                                                    
     -6        83    -.004855                                            
>                                                    
     -5        88   -.0081485        *             **          **        
> **        *                            *        *  
     -4        89    -.004306                                            
>                                                    
     -3        89    .0021838                      **          **        
>                                                    
     -2        89    .0060553                       *                    
>  *                                                 
     -1        86   -.0020721                                            
>  *        *                           **        *  
      0        86   -.0107797       **            ***         ***       *
> **       **        **        *       ***      ***  
      1        85   -.0018081                                            
>                                                    
      2        88    .0047408                                            
>                              *        **       **  
      3        88   -.0131134      ***     *                             
>                                                 *  
      4        89    .0078731        *                                   
>                                        *       **  
      5        87    .0029299                                            
>                                                    
      6        84   -.0034621                                            
>                                        *        *  
      7        86    .0011367                                            
>                                                    
      8        88   -.0008823                                            
>                                                    
      9        82   -.0139026      ***     *                             
>                                                    
     10        82   -.0025722                                            
>                                      ***       **  

           t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ   
> Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   Wi
> lcox  
      [-2;0]        86   -.0076165                                       
>                                                         *              
>  ***  
     [-3;-1]        86    .0053606                     ***          **   
>                                                                        
>       
     [-4;-2]        89    .0039331                      **          **   
>                                                                        
>       
     [-5;-3]        88   -.0102301                                       
>                                                                        
>       
     [-6;-4]        83   -.0180195       **            ***         ***   
>      **       **                                                **     
>   **  
     [-7;-5]        87   -.0112981                                       
>                                                                        
>    *  
     [-8;-6]        86   -.0033006                                       
>                                                                        
>       
     [-9;-7]        83   -.0052625                                       
>                                                                 **     
>       
    [-10;-8]        83    .0013151                                       
>                                                                 **     
>       
    [-11;-9]        83    .0034201                                       
>                                                                ***     
>       
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  AAR_neg
Cumulative average abnormal returns:  Car_Diag_Neg_MinGR_top8Xtile
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Neg_MinGR_top8Xtile
Logfile:  Diag_Neg_MinGR_top8Xtile

. 
. use "List_PA_random", clear

. 
. eventstudy3 ISIN Date using Returns_PA_random, returns(Return_Unadj) //
> / 
> mod(FM) ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> evwlb(-20)  evwub(10) ///
> eswlb(-121) eswub(-21) ///
> logreturns ///
> car1LB(-1) car1UB(1) ///
> car2LB(0) car2UB(2) ///
> car3LB(1) car3UB(3) ///
> car4LB(2) car4UB(4) ///
> car5LB(3) car5UB(5) ///
> car6LB(4) car6UB(6) ///
> car7LB(5) car7UB(7) ///
> car8LB(6) car8UB(8) ///
> car9LB(7) car9UB(9) ///
> car10LB(8) car10UB(10) ///
> archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_Post_MinGR_top8Xtile) ///
> carfile(Car_Diag_Post_MinGR_top8Xtile) ///
> aarfile(AAR_post) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 89 events completed.
2 out of 89 events completed.
3 out of 89 events completed.
4 out of 89 events completed.
5 out of 89 events completed.
6 out of 89 events completed.
7 out of 89 events completed.
8 out of 89 events completed.
9 out of 89 events completed.
10 out of 89 events completed.
11 out of 89 events completed.
12 out of 89 events completed.
13 out of 89 events completed.
14 out of 89 events completed.
15 out of 89 events completed.
16 out of 89 events completed.
17 out of 89 events completed.
18 out of 89 events completed.
19 out of 89 events completed.
20 out of 89 events completed.
21 out of 89 events completed.
22 out of 89 events completed.
23 out of 89 events completed.
24 out of 89 events completed.
25 out of 89 events completed.
26 out of 89 events completed.
27 out of 89 events completed.
28 out of 89 events completed.
29 out of 89 events completed.
30 out of 89 events completed.
31 out of 89 events completed.
32 out of 89 events completed.
33 out of 89 events completed.
34 out of 89 events completed.
35 out of 89 events completed.
36 out of 89 events completed.
37 out of 89 events completed.
38 out of 89 events completed.
39 out of 89 events completed.
40 out of 89 events completed.
41 out of 89 events completed.
42 out of 89 events completed.
43 out of 89 events completed.
44 out of 89 events completed.
45 out of 89 events completed.
46 out of 89 events completed.
47 out of 89 events completed.
48 out of 89 events completed.
49 out of 89 events completed.
50 out of 89 events completed.
51 out of 89 events completed.
52 out of 89 events completed.
53 out of 89 events completed.
54 out of 89 events completed.
55 out of 89 events completed.
56 out of 89 events completed.
57 out of 89 events completed.
58 out of 89 events completed.
59 out of 89 events completed.
60 out of 89 events completed.
61 out of 89 events completed.
62 out of 89 events completed.
63 out of 89 events completed.
64 out of 89 events completed.
65 out of 89 events completed.
66 out of 89 events completed.
67 out of 89 events completed.
68 out of 89 events completed.
69 out of 89 events completed.
70 out of 89 events completed.
71 out of 89 events completed.
72 out of 89 events completed.
73 out of 89 events completed.
74 out of 89 events completed.
75 out of 89 events completed.
76 out of 89 events completed.
77 out of 89 events completed.
78 out of 89 events completed.
79 out of 89 events completed.
80 out of 89 events completed.
81 out of 89 events completed.
82 out of 89 events completed.
83 out of 89 events completed.
84 out of 89 events completed.
85 out of 89 events completed.
86 out of 89 events completed.
87 out of 89 events completed.
88 out of 89 events completed.
89 out of 89 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded


Number of events in the event file: 96
-- thereof: Number of events for which security identifiers and event dat
> es are available: 96
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 96
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 89

List of security identifiers for which no security market data was availa
> ble: 

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 7
Number of events with insufficient market index/factor return data: 4

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 1
Number of events with insufficient market/index factor return data: 1
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 4


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        86    .0013989                                            
>                                                    
    -19        86   -.0062513                                            
>                                                    
    -18        87    .0040102                                            
>                                                    
    -17        87   -.0073777                                            
>                                                 *  
    -16        87   -.0016112                                            
>                                        *           
    -15        87   -.0086172        *                                   
>                                                 *  
    -14        86    .0007499                                            
>                                                    
    -13        84   -.0090275        *            ***         ***        
> **        *        **                 **       **  
    -12        81    -.004655                                            
>                                                    
    -11        83   -.0006088                                            
>                                        *           
    -10        83    .0090492        *              *           *        
> **        *        **       **       ***       **  
     -9        86   -.0066408                                            
>                                                    
     -8        87   -.0006664                                            
>                                                    
     -7        83    .0024717                                            
>                                                    
     -6        83    -.004855                                            
>                                                    
     -5        88   -.0081485        *             **          **        
> **        *                            *        *  
     -4        89    -.004306                                            
>                                                    
     -3        89    .0021838                      **          **        
>                                                    
     -2        89    .0060553                       *                    
>  *                                                 
     -1        86   -.0020721                                            
>  *        *                           **        *  
      0        86   -.0107797       **            ***         ***       *
> **       **        **        *       ***      ***  
      1        85   -.0018081                                            
>                                                    
      2        88    .0047408                                            
>                              *        **       **  
      3        88   -.0131134      ***     *                             
>                                                 *  
      4        89    .0078731        *                                   
>                                        *       **  
      5        87    .0029299                                            
>                                                    
      6        84   -.0034621                                            
>                                        *        *  
      7        86    .0011367                                            
>                                                    
      8        88   -.0008823                                            
>                                                    
      9        82   -.0139026      ***     *                             
>                                                    
     10        82   -.0025722                                            
>                                      ***       **  

         t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ   Bo
> ehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   Wilc
> ox  
    [-1;1]        88   -.0133724        *            ***         ***     
>   ***       **               *              *       ***      ***      *
> **  
     [0;2]        85   -.0071973                      **          **     
>     *                                                                  
>     
     [1;3]        86   -.0075534                                         
>                                                                *       
>     
     [2;4]        88    -.000353                                         
>                                                                *       
>  *  
     [3;5]        86    -.003345                                         
>                                                                        
>     
     [4;6]        86     .005753                                         
>                                                                        
>     
     [5;7]        89   -.0010864                                         
>                                                                        
>     
     [6;8]        86   -.0014852                                         
>                                                                        
>     
     [7;9]        82   -.0133812        *                                
>                                                                        
>     
    [8;10]        89   -.0169096       **                                
>                                                                        
> **  
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  AAR_post
Cumulative average abnormal returns:  Car_Diag_Post_MinGR_top8Xtile
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Post_MinGR_top8Xtile
Logfile:  Diag_Post_MinGR_top8Xtile

. 
. // Gather info for CAAR 
.  
. use "Car_Diag_Pre_MinGR_top8Xtile.dta", clear // This is the data for t
> he pre-negotiation period

. 
. drop if _n==10
(1 observation deleted)

. mmerge t using "Car_Diag_Neg_MinGR_top8Xtile", type(1:1) missing(nomatc
> h) // This is the data for the negotiation period 

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_Pre_MinGR_top8Xtile.dta
                 obs |      9
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_Neg_MinGR_top8Xtile.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_Pre_MinGR_top8Xtile.dta
                 obs |     19
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |      9  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. mmerge t using "Car_Diag_Post_MinGR_top8Xtile", type(1:1) missing(nomat
> ch) // This is the data for the post - negotiation period 

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_Pre_MinGR_top8Xtile.dta
                 obs |     19
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_Post_MinGR_top8Xtile.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_Pre_MinGR_top8Xtile.dta
                 obs |     29
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |     19  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. 
. gen tNum = ""
(29 missing values generated)

. replace tNum = usubstr(t, 1, ustrpos(t, ";") - 1)
variable tNum was str1 now str4
(29 real changes made)

. replace tNum = subinstr(tNum, "[", "",.) 
(29 real changes made)

. destring tNum, replace
tNum: all characters numeric; replaced as byte

. replace tNum = tNum+1
(29 real changes made)

. 
. order tNum, after(t)

. 
. replace CAARE = CAARE * 100
(29 real changes made)

. 
. // Corrado-Cowan CIs
. gen CILB = CAARE - 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. gen CIUB = CAARE + 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. 
. replace CILB = -10 if CILB<-10
(3 real changes made)

. replace CIUB = 20 if CIUB>20
(1 real change made)

. 
. sort tNum

. twoway line CAARE tNum, lcolor(red) lwidth(medthick) ///
> yscale(range(-10(5)20)) ylabel(-10(5)20) ///
> xlabel(-20(2)10) ///
> graphregion(color(white)) ///
> xtitle("Trading day to/from Monday 14/12/2015") ytitle("CAAR (in %)") /
> //
> legend(off) ///
> xline(-10, lcolor(black)) xline(0, lcolor(black)) ///
> yline(0, lcolor(black)) ///
> text(18 -15 "Pre-negotiation") ///
> text(18 -6 "Negotiation") ///
> text(18 5 "Post-negotiation") ///
> || rcap CILB CIUB tNum, lcolor(blue) 

. 
. graph export "${result}FigE7.pdf", replace
(file /Users/myramohnen/Dropbox/EventStudy_Paris/JAERE/ConditionalAccept/
> RESULTS/FigE7.pdf written in PDF format)

. 
. /*=====================================================================
> =========*/
. /* Figure E8. Regression with value weighted */
. /*=====================================================================
> =========*/
. 
. use "List_US_MinGR_top8Xtile", clear

. 
. eventstudy3 ISIN Date using Return_US_MinGR_top8Xtile_weighted, returns
> (Return_w_Unadj) /// 
> mod(FM) /// Fama French model 
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) /// factors
> riskfreerate(RFNum) /// risk free 
> evwlb(-20) /// event window lower bound
> evwub(10) /// event window upper bound 
> eswlb(-121) /// estimation window lower bound 
> eswub(-21) /// estimation window upper bound 
> logreturns /// log returns
> car1LB(-12) car1UB(-10) /// CAR window 1 bounds
> car2LB(-13) car2UB(-11) /// CAR window 2 bounds
> car3LB(-14) car3UB(-12) /// CAR window 3 bounds
> car4LB(-15) car4UB(-13) /// CAR window 4 bounds
> car5LB(-16) car5UB(-14) /// CAR window 5 bounds
> car6LB(-17) car6UB(-15) /// CAR window 6 bounds
> car7LB(-18) car7UB(-16) /// CAR window 7 bounds
> car8LB(-19) car8UB(-17) /// CAR window 8 bounds
> car9LB(-20) car9UB(-18) /// CAR window 9 bounds
> archoption(1) garchoption(1) /// ARCH option GARCH option
> diagnosticsfile(Diag_Pre_MinGR_top8Xtile_w) /// output diagnostic 
> carfile(Car_Diag_Pre_MinGR_top8Xtile_w) /// output cumulative average a
> bnormal return file
> aarfile(AAR_w) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 62 events completed.
2 out of 62 events completed.
3 out of 62 events completed.
4 out of 62 events completed.
5 out of 62 events completed.
6 out of 62 events completed.
7 out of 62 events completed.
8 out of 62 events completed.
9 out of 62 events completed.
10 out of 62 events completed.
11 out of 62 events completed.
12 out of 62 events completed.
13 out of 62 events completed.
14 out of 62 events completed.
15 out of 62 events completed.
16 out of 62 events completed.
17 out of 62 events completed.
18 out of 62 events completed.
19 out of 62 events completed.
20 out of 62 events completed.
21 out of 62 events completed.
22 out of 62 events completed.
23 out of 62 events completed.
24 out of 62 events completed.
25 out of 62 events completed.
26 out of 62 events completed.
27 out of 62 events completed.
28 out of 62 events completed.
29 out of 62 events completed.
30 out of 62 events completed.
31 out of 62 events completed.
32 out of 62 events completed.
33 out of 62 events completed.
34 out of 62 events completed.
35 out of 62 events completed.
36 out of 62 events completed.
37 out of 62 events completed.
38 out of 62 events completed.
39 out of 62 events completed.
40 out of 62 events completed.
41 out of 62 events completed.
42 out of 62 events completed.
43 out of 62 events completed.
44 out of 62 events completed.
45 out of 62 events completed.
46 out of 62 events completed.
47 out of 62 events completed.
48 out of 62 events completed.
49 out of 62 events completed.
50 out of 62 events completed.
51 out of 62 events completed.
52 out of 62 events completed.
53 out of 62 events completed.
54 out of 62 events completed.
55 out of 62 events completed.
56 out of 62 events completed.
57 out of 62 events completed.
58 out of 62 events completed.
59 out of 62 events completed.
60 out of 62 events completed.
61 out of 62 events completed.
62 out of 62 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded

Warning: Some CAR window definitions (options carXLB and carXUB) have bee
> n changed because they were outside the event window.

Number of events in the event file: 63
-- thereof: Number of events for which security identifiers and event dat
> es are available: 63
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 63
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 62

List of security identifiers for which no security market data was availa
> ble: IL0010826357

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        62   -.0030137                                            
>                                                    
    -19        62    .0075013                                            
>                                       **           
    -18        62   -.0128399       **    **      ***          **        
> **        *        **       **                ***  
    -17        62    .0097434        *                                   
>                                                    
    -16        62    .0023809                      **                    
>  *                                   ***       **  
    -15        62    .0020564                                            
>                                       **        *  
    -14        62   -.0018541                                            
>                                                    
    -13        62    .0021117                                            
>                                                    
    -12        62    .0136585       **    **                             
>                                                    
    -11        62    .0044202                                            
> **                           *       ***      ***  
    -10        62      .00428                      **                    
> **                                   ***       **  
     -9        62    .0109419        *     *                             
>  *                                   ***       **  
     -8        62    .0081125                                            
>                                                    
     -7        62    .0080929                                            
>                                        *           
     -6        62   -.0126065       **    **                             
>                                                    
     -5        62    .0027797                                            
>                                       **        *  
     -4        62   -.0033361                                            
>                                        *           
     -3        62   -.0016854                                            
>                                      ***           
     -2        62   -.0061724                                            
>                                                    
     -1        62   -.0022243                     ***           *        
>                                                    
      0        62    .0106095        *     *                             
>                                       **           
      1        62    .0062075                                            
>                                                    
      2        62    .0353605      ***   ***      ***         ***       *
> **      ***       ***      ***       ***      ***  
      3        62     .007392                                            
>                                      ***       **  
      4        62    .0111922       **     *      ***          **        
> **        *         *       **       ***      ***  
      5        62   -.0011917                       *                    
>                                       **           
      6        62   -.0078975                                            
>                                                    
      7        62   -.0022299                                            
>                                                **  
      8        62     .002024                                            
>                                                    
      9        62    .0037132                                            
>                                                    
     10        62   -.0000337                                            
>                                                    

            t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ  
>  Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   W
> ilcox  
    [-12;-10]        62    .0223587       **    **      ***          **  
>      ***       **               *                      ***       **    
>   ***  
    [-13;-11]        62    .0201904       **     *                       
>                                                          *             
>    **  
    [-14;-12]        62    .0139161                                      
>                                              ***                       
>        
    [-15;-13]        62    .0023139                                      
>                                              ***                       
>        
    [-16;-14]        62    .0025832                      **              
>                                                *        **             
>        
    [-17;-15]        62    .0141807                       *              
>                                                        ***             
>   ***  
    [-18;-16]        62   -.0007156                                      
>                                              ***                       
>        
    [-19;-17]        62    .0044048                                      
>                                              ***                       
>        
    [-20;-18]        62   -.0083524                                      
>                                              ***                       
>        
     [-20;10]        62    .0974929      ***   ***      ***         ***  
>       **                        *            ***       ***       **    
>   ***  
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  AAR_w
Cumulative average abnormal returns:  Car_Diag_Pre_MinGR_top8Xtile_w
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Pre_MinGR_top8Xtile_w
Logfile:  Diag_Pre_MinGR_top8Xtile_w

. 
. use "List_US_MinGR_top8Xtile", clear

. 
. eventstudy3 ISIN Date using Return_US_MinGR_top8Xtile_weighted, returns
> (Return_w_Unadj) /// 
> mod(FM) ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> evwlb(-20) evwub(10) ///
> eswlb(-121) eswub(-21) ///
> logreturns ///
> car1LB(-2) car1UB(0) ///
> car2LB(-3) car2UB(-1) ///
> car3LB(-4) car3UB(-2) ///
> car4LB(-5) car4UB(-3) ///
> car5LB(-6) car5UB(-4) ///
> car6LB(-7) car6UB(-5) ///
> car7LB(-8) car7UB(-6) ///
> car8LB(-9) car8UB(-7) ///
> car9LB(-10) car9UB(-8) ///
> car10LB(-11) car10UB(-9) ///
> archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_Neg_MinGR_top8Xtile_w) /// 
> carfile(Car_Diag_Neg_MinGR_top8Xtile_w) ///
> aarfile(AAR_neg_w) ///
> replace
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 62 events completed.
2 out of 62 events completed.
3 out of 62 events completed.
4 out of 62 events completed.
5 out of 62 events completed.
6 out of 62 events completed.
7 out of 62 events completed.
8 out of 62 events completed.
9 out of 62 events completed.
10 out of 62 events completed.
11 out of 62 events completed.
12 out of 62 events completed.
13 out of 62 events completed.
14 out of 62 events completed.
15 out of 62 events completed.
16 out of 62 events completed.
17 out of 62 events completed.
18 out of 62 events completed.
19 out of 62 events completed.
20 out of 62 events completed.
21 out of 62 events completed.
22 out of 62 events completed.
23 out of 62 events completed.
24 out of 62 events completed.
25 out of 62 events completed.
26 out of 62 events completed.
27 out of 62 events completed.
28 out of 62 events completed.
29 out of 62 events completed.
30 out of 62 events completed.
31 out of 62 events completed.
32 out of 62 events completed.
33 out of 62 events completed.
34 out of 62 events completed.
35 out of 62 events completed.
36 out of 62 events completed.
37 out of 62 events completed.
38 out of 62 events completed.
39 out of 62 events completed.
40 out of 62 events completed.
41 out of 62 events completed.
42 out of 62 events completed.
43 out of 62 events completed.
44 out of 62 events completed.
45 out of 62 events completed.
46 out of 62 events completed.
47 out of 62 events completed.
48 out of 62 events completed.
49 out of 62 events completed.
50 out of 62 events completed.
51 out of 62 events completed.
52 out of 62 events completed.
53 out of 62 events completed.
54 out of 62 events completed.
55 out of 62 events completed.
56 out of 62 events completed.
57 out of 62 events completed.
58 out of 62 events completed.
59 out of 62 events completed.
60 out of 62 events completed.
61 out of 62 events completed.
62 out of 62 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded


Number of events in the event file: 63
-- thereof: Number of events for which security identifiers and event dat
> es are available: 63
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 63
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 62

List of security identifiers for which no security market data was availa
> ble: IL0010826357

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        62   -.0030137                                            
>                                                    
    -19        62    .0075013                                            
>                                       **           
    -18        62   -.0128399       **    **      ***          **        
> **        *        **       **                ***  
    -17        62    .0097434        *                                   
>                                                    
    -16        62    .0023809                      **                    
>  *                                   ***       **  
    -15        62    .0020564                                            
>                                       **        *  
    -14        62   -.0018541                                            
>                                                    
    -13        62    .0021117                                            
>                                                    
    -12        62    .0136585       **    **                             
>                                                    
    -11        62    .0044202                                            
> **                           *       ***      ***  
    -10        62      .00428                      **                    
> **                                   ***       **  
     -9        62    .0109419        *     *                             
>  *                                   ***       **  
     -8        62    .0081125                                            
>                                                    
     -7        62    .0080929                                            
>                                        *           
     -6        62   -.0126065       **    **                             
>                                                    
     -5        62    .0027797                                            
>                                       **        *  
     -4        62   -.0033361                                            
>                                        *           
     -3        62   -.0016854                                            
>                                      ***           
     -2        62   -.0061724                                            
>                                                    
     -1        62   -.0022243                     ***           *        
>                                                    
      0        62    .0106095        *     *                             
>                                       **           
      1        62    .0062075                                            
>                                                    
      2        62    .0353605      ***   ***      ***         ***       *
> **      ***       ***      ***       ***      ***  
      3        62     .007392                                            
>                                      ***       **  
      4        62    .0111922       **     *      ***          **        
> **        *        **       **       ***      ***  
      5        62   -.0011917                       *                    
>                                       **           
      6        62   -.0078975                                            
>                                                    
      7        62   -.0022299                                            
>                                                **  
      8        62     .002024                                            
>                                                    
      9        62    .0037132                                            
>                                                    
     10        62   -.0000337                                            
>                                                    

           t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ   
> Boehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   Wi
> lcox  
      [-2;0]        62    .0022128                                       
>                                              **        **              
>       
     [-3;-1]        62   -.0100821                                       
>                                             ***                        
>       
     [-4;-2]        62   -.0111939                                       
>                                              **        **              
>       
     [-5;-3]        62   -.0022418                                       
>                                              **       ***              
>    *  
     [-6;-4]        62   -.0131628                                       
>                                             ***         *              
>       
     [-7;-5]        62   -.0017339                                       
>                                              **        **              
>       
     [-8;-6]        62    .0035989                                       
>                                              **                        
>       
     [-9;-7]        62    .0271473      ***    **        *               
>                                                                        
>   **  
    [-10;-8]        62    .0233343       **    **      ***          **   
>      **        *                                      ***       **     
>  ***  
    [-11;-9]        62     .019642       **     *      ***         ***   
>     ***      ***             ***                      ***      ***     
>  ***  
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  AAR_neg_w
Cumulative average abnormal returns:  Car_Diag_Neg_MinGR_top8Xtile_w
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Neg_MinGR_top8Xtile_w
Logfile:  Diag_Neg_MinGR_top8Xtile_w

. 
. use "List_US_MinGR_top8Xtile", clear

. 
. eventstudy3 ISIN Date using Return_US_MinGR_top8Xtile_weighted, returns
> (Return_w_Unadj) /// 
> mod(FM) ///
> marketfile(Market_US_MinGR_top8Xtile) mar(MktNum) idmarket(Market_ID) /
> // 
> factor1(SMBNum) factor2(HMLNum) riskfreerate(RFNum) ///
> evwlb(-20)  evwub(10) ///
> eswlb(-121) eswub(-21) ///
> logreturns ///
> car1LB(-1) car1UB(1) ///
> car2LB(0) car2UB(2) ///
> car3LB(1) car3UB(3) ///
> car4LB(2) car4UB(4) ///
> car5LB(3) car5UB(5) ///
> car6LB(4) car6UB(6) ///
> car7LB(5) car7UB(7) ///
> car8LB(6) car8UB(8) ///
> car9LB(7) car9UB(9) ///
> car10LB(8) car10UB(10) ///
> archoption(1) garchoption(1) /// 
> diagnosticsfile(Diag_Post_MinGR_top8Xtile_w) ///
> carfile(Car_Diag_Post_MinGR_top8Xtile_w) ///
> aarfile(AAR_post_w) ///
> replace 
Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
Merging event dates and stock market data...
...succeeded
Calculating abnormal returns...
1 out of 62 events completed.
2 out of 62 events completed.
3 out of 62 events completed.
4 out of 62 events completed.
5 out of 62 events completed.
6 out of 62 events completed.
7 out of 62 events completed.
8 out of 62 events completed.
9 out of 62 events completed.
10 out of 62 events completed.
11 out of 62 events completed.
12 out of 62 events completed.
13 out of 62 events completed.
14 out of 62 events completed.
15 out of 62 events completed.
16 out of 62 events completed.
17 out of 62 events completed.
18 out of 62 events completed.
19 out of 62 events completed.
20 out of 62 events completed.
21 out of 62 events completed.
22 out of 62 events completed.
23 out of 62 events completed.
24 out of 62 events completed.
25 out of 62 events completed.
26 out of 62 events completed.
27 out of 62 events completed.
28 out of 62 events completed.
29 out of 62 events completed.
30 out of 62 events completed.
31 out of 62 events completed.
32 out of 62 events completed.
33 out of 62 events completed.
34 out of 62 events completed.
35 out of 62 events completed.
36 out of 62 events completed.
37 out of 62 events completed.
38 out of 62 events completed.
39 out of 62 events completed.
40 out of 62 events completed.
41 out of 62 events completed.
42 out of 62 events completed.
43 out of 62 events completed.
44 out of 62 events completed.
45 out of 62 events completed.
46 out of 62 events completed.
47 out of 62 events completed.
48 out of 62 events completed.
49 out of 62 events completed.
50 out of 62 events completed.
51 out of 62 events completed.
52 out of 62 events completed.
53 out of 62 events completed.
54 out of 62 events completed.
55 out of 62 events completed.
56 out of 62 events completed.
57 out of 62 events completed.
58 out of 62 events completed.
59 out of 62 events completed.
60 out of 62 events completed.
61 out of 62 events completed.
62 out of 62 events completed.
...succeeded
Assessing statistical significance of abnormal returns...
...succeeded
Diagnosing events that are excluded from the analysis...
...succeeded


Number of events in the event file: 63
-- thereof: Number of events for which security identifiers and event dat
> es are available: 63
-- thereof: Number of events for which event dates are in the range of da
> tes in the security file: 63
-- thereof: Number of events in the analysis (not deleted because of any 
> insufficient data in the estimation or event period): 62

List of security identifiers for which no security market data was availa
> ble: IL0010826357

ANALYSIS OF ESTIMATION PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market index/factor return data: 0

ANALYSIS OF EVENT PERIOD

Number of events with insufficient security return data: 0
Number of events with insufficient market/index factor return data: 0
Events for which the IPO (deletion) date of the event firm is later (earl
> ier) than the first (last) day of the event window: 0


      t   NoFirms         AAR   t_test   CDA   Patell   PatellADJ   Boehm
> er   Kolari   Corrado   Zivney   GenSign   Wilcox  
    -20        62   -.0030137                                            
>                                                    
    -19        62    .0075013                                            
>                                       **           
    -18        62   -.0128399       **    **      ***          **        
> **        *        **       **                ***  
    -17        62    .0097434        *                                   
>                                                    
    -16        62    .0023809                      **                    
>  *                                   ***       **  
    -15        62    .0020564                                            
>                                       **        *  
    -14        62   -.0018541                                            
>                                                    
    -13        62    .0021117                                            
>                                                    
    -12        62    .0136585       **    **                             
>                                                    
    -11        62    .0044202                                            
> **                           *       ***      ***  
    -10        62      .00428                      **                    
> **                                   ***       **  
     -9        62    .0109419        *     *                             
>  *                                   ***       **  
     -8        62    .0081125                                            
>                                                    
     -7        62    .0080929                                            
>                                        *           
     -6        62   -.0126065       **    **                             
>                                                    
     -5        62    .0027797                                            
>                                       **        *  
     -4        62   -.0033361                                            
>                                        *           
     -3        62   -.0016854                                            
>                                      ***           
     -2        62   -.0061724                                            
>                                                    
     -1        62   -.0022243                     ***           *        
>                                                    
      0        62    .0106095        *     *                             
>                                       **           
      1        62    .0062075                                            
>                                                    
      2        62    .0353605      ***   ***      ***         ***       *
> **      ***       ***      ***       ***      ***  
      3        62     .007392                                            
>                                      ***       **  
      4        62    .0111922       **     *      ***          **        
> **        *         *       **       ***      ***  
      5        62   -.0011917                       *                    
>                                       **           
      6        62   -.0078975                                            
>                                                    
      7        62   -.0022299                                            
>                                                **  
      8        62     .002024                                            
>                                                    
      9        62    .0037132                                            
>                                                    
     10        62   -.0000337                                            
>                                                    

         t   NoFirms        CAAR   t_test   CDA   Patell   PatellADJ   Bo
> ehmer   Kolari   Corrado_Cowan   Zivney_Cowan   GenSign   GRANKT   Wilc
> ox  
    [-1;1]        62    .0145927                     ***         ***     
>                                            **       ***                
>     
     [0;2]        62    .0521775      ***   ***      ***         ***     
>   ***       **              **                      ***      ***      *
> **  
     [1;3]        62      .04896      ***   ***      ***         ***     
>   ***       **              **                      ***      ***      *
> **  
     [2;4]        62    .0539447      ***   ***      ***         ***     
>   ***      ***             ***                      ***      ***      *
> **  
     [3;5]        62    .0173925        *            ***         ***     
>   ***       **              **                      ***      ***      *
> **  
     [4;6]        62     .002103                     ***         ***     
>   ***       **                                      ***      ***       
> **  
     [5;7]        62   -.0113191                                         
>                                           ***                          
>     
     [6;8]        62   -.0081034                                         
>                                           ***                          
>     
     [7;9]        62    .0035072                                         
>                                           ***                          
>     
    [8;10]        62    .0057035                                         
>                                            **                          
>     
The following result files are available in the working directory and are
>  loaded into memory by clicking.
Graph of cumulative average abnormal returns:  graphfile
Warning: The graphing routine always assumes zero abnormal returns where 
> they are missing. Thus, the graph output cannot be reconciled with the 
> tabulated results if there are missing returns and fill or arfillevent 
> options are not enabled. Although often found in publications, I recomm
> end against using CAAR graphs because they give the false impression th
> at CAARs resemble the returns of a held portfolio of event firms.
Average abnormal returns (daily basis):  AAR_post_w
Cumulative average abnormal returns:  Car_Diag_Post_MinGR_top8Xtile_w
Abnormal returns:  arfile
Cumulative abnormal returns for cross-sectional analyses:  crossfile
Diagnostic of events that are excluded:  Diag_Post_MinGR_top8Xtile_w
Logfile:  Diag_Post_MinGR_top8Xtile_w

. 
. // Gather info for CAAR 
.  
. use "Car_Diag_Pre_MinGR_top8Xtile_w.dta", clear // This is the data for
>  the pre-negotiation period

. 
. drop if _n==10
(1 observation deleted)

. mmerge t using "Car_Diag_Neg_MinGR_top8Xtile_w", type(1:1) missing(noma
> tch) // This is the data for the negotiation period 

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_Pre_MinGR_top8Xtile_w.dta
                 obs |      9
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_Neg_MinGR_top8Xtile_w.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_Pre_MinGR_top8Xtile_w.dta
                 obs |     19
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |      9  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. mmerge t using "Car_Diag_Post_MinGR_top8Xtile_w", type(1:1) missing(nom
> atch) // This is the data for the post - negotiation period 

-------------------------------------------------------------------------
> ------
merge specs          |
       matching type | 1:1
  mv's on match vars | nomatch
  unmatched obs from | both
---------------------+---------------------------------------------------
> ------
  master        file | Car_Diag_Pre_MinGR_top8Xtile_w.dta
                 obs |     19
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
  using         file | Car_Diag_Post_MinGR_top8Xtile_w.dta
                 obs |     10
                vars |     25
          match vars | t  (key)
  -------------------+---------------------------------------------------
> ------
         common vars | NoFirms CAARE NCAAREt_test PCAAREt_test NCAARECDA
                     | PCAARECDA NCAAREPatell PCAAREPatell NCAAREPatellAD
> J
                     | PCAAREPatellADJ NCAAREBoehmer PCAAREBoehmer NCAARE
> Kolari
                     | PCAAREKolari NCAARECorrado_Cowan PCAARECorrado_Cow
> an
                     | NCAAREZivney_Cowan PCAAREZivney_Cowan NCAAREGenSig
> n
                     | PCAAREGenSign NCAAREGRANKT PCAAREGRANKT NCAAREWilc
> ox
                     | PCAAREWilcox
---------------------+---------------------------------------------------
> ------
result          file | Car_Diag_Pre_MinGR_top8Xtile_w.dta
                 obs |     29
                vars |     27  (including _merge)
         ------------+---------------------------------------------------
> ------
              _merge |     19  obs only in master data                (co
> de==1)
                     |     10  obs only in using data                 (co
> de==2)
-------------------------------------------------------------------------
> ------

. 
. gen tNum = ""
(29 missing values generated)

. replace tNum = usubstr(t, 1, ustrpos(t, ";") - 1)
variable tNum was str1 now str4
(29 real changes made)

. replace tNum = subinstr(tNum, "[", "",.) 
(29 real changes made)

. destring tNum, replace
tNum: all characters numeric; replaced as byte

. replace tNum = tNum+1
(29 real changes made)

. 
. order tNum, after(t)

. 
. replace CAARE = CAARE * 100
(29 real changes made)

. 
. // Corrado-Cowan CIs
. gen CILB = CAARE - 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. gen CIUB = CAARE + 1.96*(abs(CAARE/NCAARECorrado_Cowan))

. 
. replace CILB = -10 if CILB<-10
(3 real changes made)

. replace CIUB = 20 if CIUB>20
(1 real change made)

. 
. sort tNum

. twoway line CAARE tNum, lcolor(red) lwidth(medthick) ///
> yscale(range(-10(5)20)) ylabel(-10(5)20) ///
> xlabel(-20(2)10) ///
> graphregion(color(white)) ///
> xtitle("Trading day to/from Monday 14/12/2015") ytitle("CAAR (in %)") /
> //
> legend(off) ///
> xline(-10, lcolor(black)) xline(0, lcolor(black)) ///
> yline(0, lcolor(black)) ///
> text(18 -15 "Pre-negotiation") ///
> text(18 -6 "Negotiation") ///
> text(18 5 "Post-negotiation") ///
> || rcap CILB CIUB tNum, lcolor(blue) 

. 
. graph export "${result}FigE8.pdf", replace
(file /Users/myramohnen/Dropbox/EventStudy_Paris/JAERE/ConditionalAccept/
> RESULTS/FigE8.pdf written in PDF format)

. 
. /*=====================================================================
> =========*/
. /* Figure E9. DID high green vs dirty */
. /*=====================================================================
> =========*/
. 
. use "did_gr97_100", clear

. append using "did_scope1and2"

. 
. // remove duplicates: firms that are both green and dirty
. duplicates tag ISIN Date, gen(x)

Duplicates in terms of ISIN Date

. drop if x==1
(1,736 observations deleted)

. 
. egen group = group(ISIN)

. tsset group Date
       panel variable:  group (strongly balanced)
        time variable:  Date, 01may2015 to 29feb2016, but with gaps
                delta:  1 day

. tsfill

. gen gap = (ISIN=="")

. gen day = dow(Date)

. drop if day==0 | day==6
(13,904 observations deleted)

. 
. bys group: replace green = green[_n-1] if green==.
(0 real changes made)

. bys group: replace ISIN = ISIN[_n-1] if ISIN==""
(0 real changes made)

. bys group: replace Return = Return[_n-1] if Return==.
(0 real changes made)

. 
. gen PA = date("December 14, 2015", "MDY")

. format  PA %d

. 
. gen post = (Date>PA)

. gen post_green = post * green

. 
. sort Date

. gen time = . 
(34,286 missing values generated)

. replace time = 0 if Date==PA
(158 real changes made)

. bys ISIN (Date): replace time = time[_n-1] + 1 if time==.
(8690 real changes made)

. 
. gsort ISIN -Date

. replace time = time[_n-1] - 1 if time==.
(25,438 real changes made)

. 
. gen time_1 = (time == 0)

. gen time_2 = (time == 1)

. gen time_3 = (time == 2)

. gen time_4 = (time == 3)

. gen time_5 = (time == 4)

. gen time_6 = (time == 5)

. gen time_7 = (time == 6)

. gen time_8 = (time == 7)

. gen time_9 = (time == 8)

. gen time_10 = (time == 9)

. 
. gen time1 = (time == -2)

. gen time2 = (time == -3)

. gen time3 = (time == -4)

. gen time4 = (time == -5)

. gen time5 = (time == -6)

. gen time6 = (time == -7)

. gen time7 = (time == -8)

. gen time8 = (time == -9)

. gen time9 = (time == -10)

. gen time10 = (time == -11)

. 
. gen time_1_t = (time == 0 & green ==1)

. gen time_2_t = (time == 1 & green ==1)

. gen time_3_t = (time == 2 & green ==1)

. gen time_4_t = (time == 3 & green ==1)

. gen time_5_t = (time == 4 & green ==1)

. gen time_6_t = (time == 5 & green ==1)

. gen time_7_t = (time == 6 & green ==1)

. gen time_8_t = (time == 7 & green ==1)

. gen time_9_t = (time == 8 & green ==1)

. gen time_10_t = (time == 9 & green ==1)

. 
. gen time1_t = (time == -2 & green ==1)

. gen time2_t = (time == -3 & green ==1)

. gen time3_t = (time == -4 & green ==1)

. gen time4_t = (time == -5 & green ==1)

. gen time5_t = (time == -6 & green ==1)

. gen time6_t = (time == -7 & green ==1)

. gen time7_t = (time == -8 & green ==1)

. gen time8_t = (time == -9 & green ==1)

. gen time9_t = (time == -10 & green ==1)

. gen time10_t = (time == -11 & green ==1)

. 
. rename time date_time

. 
. xi: reg Return time*

      Source |       SS           df       MS      Number of obs   =    3
> 3,770
-------------+----------------------------------   F(40, 33729)    =     
>  5.46
       Model |  .527902377        40  .013197559   Prob > F        =    0
> .0000
    Residual |  81.5702871    33,729  .002418402   R-squared       =    0
> .0064
-------------+----------------------------------   Adj R-squared   =    0
> .0053
       Total |  82.0981895    33,769   .00243117   Root MSE        =    .
> 04918

-------------------------------------------------------------------------
> -----
      Return |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Inte
> rval]
-------------+-----------------------------------------------------------
> -----
      time_1 |  -.0129524   .0049505    -2.62   0.009    -.0226556   -.00
> 32493
      time_2 |   .0131402   .0049505     2.65   0.008     .0034371    .02
> 28433
      time_3 |   .0081707   .0049505     1.65   0.099    -.0015325    .01
> 78738
      time_4 |  -.0232434   .0049505    -4.70   0.000    -.0329465   -.01
> 35403
      time_5 |  -.0075436   .0049505    -1.52   0.128    -.0172467    .00
> 21596
      time_6 |   .0102187   .0049505     2.06   0.039     .0005156    .01
> 99219
      time_7 |   .0153816   .0049505     3.11   0.002     .0056785    .02
> 50847
      time_8 |    .027764   .0049505     5.61   0.000     .0180609    .03
> 74671
      time_9 |   .0025188   .0049505     0.51   0.611    -.0071843    .01
> 22219
     time_10 |   .0019216   .0049505     0.39   0.698    -.0077815    .01
> 16248
       time1 |   .0016433   .0049505     0.33   0.740    -.0080598    .01
> 13464
       time2 |   .0043792   .0049505     0.88   0.376    -.0053239    .01
> 40823
       time3 |  -.0054237   .0049505    -1.10   0.273    -.0151268    .00
> 42794
       time4 |  -.0160129   .0049505    -3.23   0.001     -.025716   -.00
> 63098
       time5 |   .0014697   .0049505     0.30   0.767    -.0082335    .01
> 11728
       time6 |  -.0137914   .0049505    -2.79   0.005    -.0234945   -.00
> 40883
       time7 |  -.0180781   .0049505    -3.65   0.000    -.0277812    -.0
> 08375
       time8 |   .0095518   .0049756     1.92   0.055    -.0002005    .01
> 93042
       time9 |   .0051698   .0049756     1.04   0.299    -.0045826    .01
> 49221
      time10 |  -.0024724   .0049756    -0.50   0.619    -.0122247      .
> 00728
    time_1_t |   .0179122   .0080882     2.21   0.027     .0020591    .03
> 37652
    time_2_t |   .0115035   .0080882     1.42   0.155    -.0043496    .02
> 73565
    time_3_t |   .0333359   .0080882     4.12   0.000     .0174828    .04
> 91889
    time_4_t |   .0272724   .0080882     3.37   0.001     .0114193    .04
> 31254
    time_5_t |   .0142479   .0080882     1.76   0.078    -.0016051     .0
> 30101
    time_6_t |   .0021201   .0080882     0.26   0.793     -.013733    .01
> 79731
    time_7_t |  -.0210944   .0080882    -2.61   0.009    -.0369474   -.00
> 52413
    time_8_t |  -.0188521   .0080882    -2.33   0.020    -.0347051    -.0
> 02999
    time_9_t |  -.0011229   .0080882    -0.14   0.890     -.016976    .01
> 47301
   time_10_t |  -1.00e-15   .0080882    -0.00   1.000    -.0158531    .01
> 58531
     time1_t |   .0032926   .0080882     0.41   0.684    -.0125605    .01
> 91456
     time2_t |   .0010359   .0080882     0.13   0.898    -.0148171     .0
> 16889
     time3_t |   .0020798   .0080882     0.26   0.797    -.0137732    .01
> 79329
     time4_t |  -.0019347   .0080882    -0.24   0.811    -.0177877    .01
> 39184
     time5_t |  -.0020457   .0080882    -0.25   0.800    -.0178987    .01
> 38074
     time6_t |   .0023845   .0080882     0.29   0.768    -.0134686    .01
> 82375
     time7_t |   .0124745   .0080882     1.54   0.123    -.0033785    .02
> 83276
     time8_t |   .0127288   .0081035     1.57   0.116    -.0031544    .02
> 86121
     time9_t |   .0006345   .0081035     0.08   0.938    -.0152487    .01
> 65178
    time10_t |   .0089799   .0081035     1.11   0.268    -.0069034    .02
> 48631
       _cons |  -.0019216   .0002811    -6.84   0.000    -.0024725   -.00
> 13707
-------------------------------------------------------------------------
> -----

. parmest, format(estimate min95 max95) list(,) saving(dyn.dta, replace) 

     +---------------------------------------------------------+
  1. |      parm |   estimate |    stderr |   dof |          t |
     |    time_1 | -.01295245 | .00495049 | 33729 |    -2.6164 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |     .0088902    |    -.02265557     |    -.00324933     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
  2. |      parm |   estimate |    stderr |   dof |          t |
     |    time_2 |  .01314021 | .00495049 | 33729 |  2.6543281 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .00795038    |     .00343709     |     .02284333     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
  3. |      parm |   estimate |    stderr |   dof |          t |
     |    time_3 |  .00817067 | .00495049 | 33729 |  1.6504785 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .09885441    |    -.00153245     |     .01787379     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
  4. |      parm |   estimate |    stderr |   dof |          t |
     |    time_4 | -.02324342 | .00495049 | 33729 | -4.6951795 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    2.674e-06    |    -.03294654     |     -.0135403     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
  5. |      parm |   estimate |    stderr |   dof |          t |
     |    time_5 | -.00754356 | .00495049 | 33729 | -1.5238021 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .12756754    |    -.01724668     |     .00215956     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
  6. |      parm |   estimate |    stderr |   dof |          t |
     |    time_6 |  .01021875 | .00495049 | 33729 |  2.0641909 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .03900725    |     .00051563     |     .01992187     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
  7. |      parm |   estimate |    stderr |   dof |          t |
     |    time_7 |  .01538162 | .00495049 | 33729 |  3.1070927 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .00189094    |      .0056785     |     .02508474     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
  8. |      parm |   estimate |    stderr |   dof |          t |
     |    time_8 |  .02776402 | .00495049 | 33729 |  5.6083442 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    2.059e-08    |      .0180609     |     .03746715     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
  9. |      parm |   estimate |    stderr |   dof |          t |
     |    time_9 |  .00251882 | .00495049 | 33729 |  .50880233 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .61089411    |     -.0071843     |     .01222194     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 10. |      parm |   estimate |    stderr |   dof |          t |
     |   time_10 |  .00192163 | .00495049 | 33729 |  .38817056 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .69789227    |    -.00778149     |     .01162475     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 11. |      parm |   estimate |    stderr |   dof |          t |
     |     time1 |  .00164327 | .00495049 | 33729 |  .33194146 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .73993553    |    -.00805985     |     .01134639     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 12. |      parm |   estimate |    stderr |   dof |          t |
     |     time2 |  .00437921 | .00495049 | 33729 |  .88460181 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .37637774    |    -.00532391     |     .01408233     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 13. |      parm |   estimate |    stderr |   dof |          t |
     |     time3 |  -.0054237 | .00495049 | 33729 | -1.0955901 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .27326601    |    -.01512682     |     .00427942     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 14. |      parm |   estimate |    stderr |   dof |          t |
     |     time4 | -.01601288 | .00495049 | 33729 | -3.2346081 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .00121927    |      -.025716     |    -.00630976     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 15. |      parm |   estimate |    stderr |   dof |          t |
     |     time5 |  .00146967 | .00495049 | 33729 |    .296873 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |     .7665653    |    -.00823346     |     .01117279     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 16. |      parm |   estimate |    stderr |   dof |          t |
     |     time6 | -.01379139 | .00495049 | 33729 | -2.7858656 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .00534148    |    -.02349451     |    -.00408827     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 17. |      parm |   estimate |    stderr |   dof |          t |
     |     time7 | -.01807809 | .00495049 | 33729 | -3.6517817 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .00026082    |    -.02778121     |    -.00837497     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 18. |      parm |   estimate |    stderr |   dof |          t |
     |     time8 |  .00955185 |  .0049756 | 33729 |  1.9197385 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .05489936    |     -.0002005     |     .01930419     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 19. |      parm |   estimate |    stderr |   dof |          t |
     |     time9 |  .00516977 |  .0049756 | 33729 |  1.0390249 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .29880061    |    -.00458257     |     .01492211     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 20. |      parm |   estimate |    stderr |   dof |          t |
     |    time10 | -.00247238 |  .0049756 | 33729 | -.49690157 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |     .6192617    |    -.01222472     |     .00727996     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 21. |      parm |   estimate |    stderr |   dof |          t |
     |  time_1_t |  .01791216 | .00808815 | 33729 |  2.2146179 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .02679296    |     .00205911     |     .03376521     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 22. |      parm |   estimate |    stderr |   dof |          t |
     |  time_2_t |  .01150345 | .00808815 | 33729 |  1.4222601 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .15496001    |     -.0043496     |      .0273565     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 23. |      parm |   estimate |    stderr |   dof |          t |
     |  time_3_t |   .0333359 | .00808815 | 33729 |  4.1215725 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .00003772    |     .01748284     |     .04918895     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 24. |      parm |   estimate |    stderr |   dof |          t |
     |  time_4_t |  .02727239 | .00808815 | 33729 |  3.3718945 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .00074737    |     .01141934     |     .04312544     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 25. |      parm |   estimate |    stderr |   dof |          t |
     |  time_5_t |  .01424792 | .00808815 | 33729 |  1.7615797 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .07814939    |    -.00160513     |     .03010097     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 26. |      parm |   estimate |    stderr |   dof |          t |
     |  time_6_t |  .00212009 | .00808815 | 33729 |  .26212355 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .79322779    |    -.01373296     |     .01797315     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 27. |      parm |   estimate |    stderr |   dof |          t |
     |  time_7_t | -.02109438 | .00808815 | 33729 | -2.6080603 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |     .0091097    |    -.03694743     |    -.00524133     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 28. |      parm |   estimate |    stderr |   dof |          t |
     |  time_8_t | -.01885209 | .00808815 | 33729 | -2.3308282 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .01976828    |    -.03470514     |    -.00299904     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 29. |      parm |   estimate |    stderr |   dof |          t |
     |  time_9_t | -.00112295 | .00808815 | 33729 | -.13883883 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .88957834    |      -.016976     |      .0147301     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 30. |      parm |   estimate |    stderr |   dof |          t |
     | time_10_t | -1.001e-15 | .00808815 | 33729 | -1.238e-13 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |            1    |    -.01585305     |     .01585305     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 31. |      parm |   estimate |    stderr |   dof |          t |
     |   time1_t |   .0032926 | .00808815 | 33729 |  .40708885 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .68394531    |    -.01256046     |     .01914565     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 32. |      parm |   estimate |    stderr |   dof |          t |
     |   time2_t |  .00103595 | .00808815 | 33729 |  .12808201 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .89808484    |    -.01481711     |       .016889     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 33. |      parm |   estimate |    stderr |   dof |          t |
     |   time3_t |  .00207982 | .00808815 | 33729 |  .25714437 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |     .7970689    |    -.01377323     |     .01793287     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 34. |      parm |   estimate |    stderr |   dof |          t |
     |   time4_t | -.00193469 | .00808815 | 33729 | -.23920105 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .81095114    |    -.01778775     |     .01391836     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 35. |      parm |   estimate |    stderr |   dof |          t |
     |   time5_t | -.00204569 | .00808815 | 33729 | -.25292433 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .80032823    |    -.01789874     |     .01380736     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 36. |      parm |   estimate |    stderr |   dof |          t |
     |   time6_t |   .0023845 | .00808815 | 33729 |  .29481345 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .76813821    |    -.01346856     |     .01823755     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 37. |      parm |   estimate |    stderr |   dof |          t |
     |   time7_t |  .01247451 | .00808815 | 33729 |   1.542319 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .12300547    |    -.00337854     |     .02832756     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 38. |      parm |   estimate |    stderr |   dof |          t |
     |   time8_t |  .01272883 | .00810354 | 33729 |  1.5707734 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .11624467    |    -.00315439     |     .02861206     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 39. |      parm |   estimate |    stderr |   dof |          t |
     |   time9_t |  .00063454 | .00810354 | 33729 |  .07830419 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .93758655    |    -.01524868     |     .01651777     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 40. |      parm |   estimate |    stderr |   dof |          t |
     |  time10_t |  .00897987 | .00810354 | 33729 |  1.1081405 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .26780906    |    -.00690336     |     .02486309     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 41. |      parm |   estimate |    stderr |   dof |          t |
     |     _cons | -.00192163 | .00028107 | 33729 | -6.8368971 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    8.230e-12    |    -.00247254     |    -.00137073     |
     +---------------------------------------------------------+
file dyn.dta saved

. 
. use dyn, clear

. 
. drop if parm=="_cons"
(1 observation deleted)

. keep if _n>=21
(20 observations deleted)

. gen time = subinstr(parm, "time", "", .)

. replace time = subinstr(time, "_t", "", .)
(20 real changes made)

. replace time = subinstr(time, "_", "", .)
(10 real changes made)

. destring time, replace
time: all characters numeric; replaced as byte

. replace time = time*-1 if _n>=11 
(10 real changes made)

. set obs 21
number of observations (_N) was 20, now 21

. replace time = 0 in 21
(1 real change made)

. replace estimate = 0 in 21
(1 real change made)

. replace min95 = 0 in 21
(1 real change made)

. replace max95 = 0 in 21
(1 real change made)

. 
. sort time

. 
. twoway (line estimate time, lcolor(red)) || (rcap min95 max95 time, lco
> lor(black) xline(0, lcolor(red)) yline(0, lcolor(black)) ///
> graphregion(color(white)) legend(off)  ///
> xtitle("Trading day to/from Monday 14/12/2015") ytitle("Difference in R
> eturns"))

. 
. graph export "${result}FigE9.pdf", replace
(file /Users/myramohnen/Dropbox/EventStudy_Paris/JAERE/ConditionalAccept/
> RESULTS/FigE9.pdf written in PDF format)

. 
. 
. /*=====================================================================
> =========*/
. /* Figure E10. DID 97-100% vs. 25-42% */
. /*=====================================================================
> =========*/
. 
. use "did_gr25_42", clear

. append using "did_gr97_100"

. 
. egen group = group(ISIN)

. tsset group Date
       panel variable:  group (strongly balanced)
        time variable:  Date, 01may2015 to 29feb2016, but with gaps
                delta:  1 day

. tsfill

. gen gap = (ISIN=="")

. gen day = dow(Date)

. drop if day==0 | day==6
(7,480 observations deleted)

. 
. bys group: replace green = green[_n-1] if green==.
(0 real changes made)

. bys group: replace ISIN = ISIN[_n-1] if ISIN==""
(0 real changes made)

. bys group: replace Return = Return[_n-1] if Return==.
(0 real changes made)

. 
. 
. gen PA = date("December 14, 2015", "MDY")

. format  PA %d

. 
. gen post = (Date>PA)

. gen post_green = post * green

. 
. sort Date

. gen time = . 
(18,445 missing values generated)

. replace time = 0 if Date==PA
(85 real changes made)

. bys ISIN (Date): replace time = time[_n-1] + 1 if time==.
(4675 real changes made)

. 
. gsort ISIN -Date

. replace time = time[_n-1] - 1 if time==.
(13,685 real changes made)

. 
. gen time_1 = (time == 0)

. gen time_2 = (time == 1)

. gen time_3 = (time == 2)

. gen time_4 = (time == 3)

. gen time_5 = (time == 4)

. gen time_6 = (time == 5)

. gen time_7 = (time == 6)

. gen time_8 = (time == 7)

. gen time_9 = (time == 8)

. gen time_10 = (time == 9)

. 
. gen time1 = (time == -2)

. gen time2 = (time == -3)

. gen time3 = (time == -4)

. gen time4 = (time == -5)

. gen time5 = (time == -6)

. gen time6 = (time == -7)

. gen time7 = (time == -8)

. gen time8 = (time == -9)

. gen time9 = (time == -10)

. gen time10 = (time == -11)

. 
. gen time_1_t = (time == 0 & green ==1)

. gen time_2_t = (time == 1 & green ==1)

. gen time_3_t = (time == 2 & green ==1)

. gen time_4_t = (time == 3 & green ==1)

. gen time_5_t = (time == 4 & green ==1)

. gen time_6_t = (time == 5 & green ==1)

. gen time_7_t = (time == 6 & green ==1)

. gen time_8_t = (time == 7 & green ==1)

. gen time_9_t = (time == 8 & green ==1)

. gen time_10_t = (time == 9 & green ==1)

. 
. gen time1_t = (time == -2 & green ==1)

. gen time2_t = (time == -3 & green ==1)

. gen time3_t = (time == -4 & green ==1)

. gen time4_t = (time == -5 & green ==1)

. gen time5_t = (time == -6 & green ==1)

. gen time6_t = (time == -7 & green ==1)

. gen time7_t = (time == -8 & green ==1)

. gen time8_t = (time == -9 & green ==1)

. gen time9_t = (time == -10 & green ==1)

. gen time10_t = (time == -11 & green ==1)

. 
. rename time date_time

. 
. xi: reg Return time*

      Source |       SS           df       MS      Number of obs   =    1
> 8,192
-------------+----------------------------------   F(40, 18151)    =     
>  2.56
       Model |  .284128262        40  .007103207   Prob > F        =    0
> .0000
    Residual |  50.4082551    18,151  .002777161   R-squared       =    0
> .0056
-------------+----------------------------------   Adj R-squared   =    0
> .0034
       Total |  50.6923834    18,191  .002786674   Root MSE        =     
> .0527

-------------------------------------------------------------------------
> -----
      Return |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Inte
> rval]
-------------+-----------------------------------------------------------
> -----
      time_1 |  -.0219607   .0112429    -1.95   0.051    -.0439979    .00
> 00764
      time_2 |    .016736   .0112429     1.49   0.137    -.0053012    .03
> 87731
      time_3 |   .0159651   .0112429     1.42   0.156    -.0060721    .03
> 80022
      time_4 |  -4.11e-06   .0112429    -0.00   1.000    -.0220413    .02
> 20331
      time_5 |   .0032727   .0112429     0.29   0.771    -.0187645    .02
> 53099
      time_6 |   .0094608   .0112429     0.84   0.400    -.0125764    .03
> 14979
      time_7 |   .0110571   .0112429     0.98   0.325      -.01098    .03
> 30943
      time_8 |   .0194763   .0112429     1.73   0.083    -.0025609    .04
> 15135
      time_9 |   .0030783   .0112429     0.27   0.784    -.0189588    .02
> 51155
     time_10 |    .001907   .0112429     0.17   0.865    -.0201302    .02
> 39442
       time1 |   .0086643   .0112429     0.77   0.441    -.0133729    .03
> 07014
       time2 |  -.0014183   .0112429    -0.13   0.900    -.0234554    .02
> 06189
       time3 |     .00043   .0112429     0.04   0.969    -.0216072    .02
> 24672
       time4 |  -.0176575   .0112429    -1.57   0.116    -.0396947    .00
> 43796
       time5 |  -.0025605   .0112429    -0.23   0.820    -.0245977    .01
> 94766
       time6 |  -.0055225   .0112429    -0.49   0.623    -.0275596    .01
> 65147
       time7 |  -.0156466   .0112429    -1.39   0.164    -.0376838    .00
> 63906
       time8 |   .0140486   .0112429     1.25   0.211    -.0079886    .03
> 60858
       time9 |   .0018388   .0112429     0.16   0.870    -.0201983     .0
> 23876
      time10 |   .0003892   .0112429     0.03   0.972     -.021648    .02
> 24263
    time_1_t |   .0275926   .0130505     2.11   0.035     .0020123    .05
> 31729
    time_2_t |   .0084351   .0130505     0.65   0.518    -.0171452    .03
> 40154
    time_3_t |   .0248191   .0130505     1.90   0.057    -.0007612    .05
> 03994
    time_4_t |   .0032897   .0130505     0.25   0.801    -.0222906      .
> 02887
    time_5_t |   .0035593   .0130505     0.27   0.785     -.022021    .02
> 91396
    time_6_t |   .0026808   .0130505     0.21   0.837    -.0228995    .02
> 82611
    time_7_t |  -.0161784   .0130505    -1.24   0.215    -.0417587    .00
> 94019
    time_8_t |  -.0107269   .0130505    -0.82   0.411    -.0363072    .01
> 48534
    time_9_t |  -.0018978   .0130505    -0.15   0.884    -.0274781    .02
> 36825
   time_10_t |   1.13e-15   .0130505     0.00   1.000    -.0255803    .02
> 55803
     time1_t |  -.0044557   .0130505    -0.34   0.733     -.030036    .02
> 11245
     time2_t |   .0061909   .0130505     0.47   0.635    -.0193893    .03
> 17712
     time3_t |  -.0036611   .0130505    -0.28   0.779    -.0292414    .02
> 19192
     time4_t |   .0000696   .0130505     0.01   0.996    -.0255107    .02
> 56499
     time5_t |   .0025099   .0130505     0.19   0.847    -.0230704    .02
> 80902
     time6_t |  -.0058822   .0130505    -0.45   0.652    -.0314625    .01
> 96981
     time7_t |   .0107089   .0130505     0.82   0.412    -.0148714    .03
> 62892
     time8_t |   .0073147   .0130505     0.56   0.575    -.0182656     .0
> 32895
     time9_t |   .0037829   .0130505     0.29   0.772    -.0217974    .02
> 93632
    time10_t |   .0060612   .0130505     0.46   0.642     -.019519    .03
> 16415
       _cons |   -.001907   .0004104    -4.65   0.000    -.0027113   -.00
> 11027
-------------------------------------------------------------------------
> -----

. parmest, format(estimate min95 max95) list(,) saving(dyn.dta, replace) 

     +---------------------------------------------------------+
  1. |      parm |   estimate |    stderr |   dof |          t |
     |    time_1 | -.02196075 | .01124291 | 18151 | -1.9532976 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .05079968    |    -.04399791     |     .00007642     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
  2. |      parm |   estimate |    stderr |   dof |          t |
     |    time_2 |  .01673597 | .01124291 | 18151 |  1.4885798 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .13661544    |     -.0053012     |     .03877313     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
  3. |      parm |   estimate |    stderr |   dof |          t |
     |    time_3 |  .01596506 | .01124291 | 18151 |  1.4200119 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .15562139    |     -.0060721     |     .03800223     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
  4. |      parm |   estimate |    stderr |   dof |          t |
     |    time_4 | -4.115e-06 | .01124291 | 18151 |   -.000366 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .99970798    |    -.02204128     |     .02203305     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
  5. |      parm |   estimate |    stderr |   dof |          t |
     |    time_5 |  .00327271 | .01124291 | 18151 |  .29109066 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .77098531    |    -.01876446     |     .02530987     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
  6. |      parm |   estimate |    stderr |   dof |          t |
     |    time_6 |  .00946077 | .01124291 | 18151 |  .84148764 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .40008589    |     -.0125764     |     .03149793     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
  7. |      parm |   estimate |    stderr |   dof |          t |
     |    time_7 |  .01105712 | .01124291 | 18151 |  .98347487 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .32538689    |    -.01098005     |     .03309428     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
  8. |      parm |   estimate |    stderr |   dof |          t |
     |    time_8 |   .0194763 | .01124291 | 18151 |  1.7323189 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .08323378    |    -.00256086     |     .04151347     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
  9. |      parm |   estimate |    stderr |   dof |          t |
     |    time_9 |  .00307834 | .01124291 | 18151 |  .27380276 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .78423932    |    -.01895883     |     .02511551     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 10. |      parm |   estimate |    stderr |   dof |          t |
     |   time_10 |    .001907 | .01124291 | 18151 |  .16961807 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |     .8653124    |    -.02013017     |     .02394417     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 11. |      parm |   estimate |    stderr |   dof |          t |
     |     time1 |  .00866428 | .01124291 | 18151 |   .7706436 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .44092824    |    -.01337289     |     .03070144     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 12. |      parm |   estimate |    stderr |   dof |          t |
     |     time2 | -.00141827 | .01124291 | 18151 | -.12614753 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .89961654    |    -.02345543     |      .0206189     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 13. |      parm |   estimate |    stderr |   dof |          t |
     |     time3 |     .00043 | .01124291 | 18151 |   .0382459 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .96949205    |    -.02160717     |     .02246716     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 14. |      parm |   estimate |    stderr |   dof |          t |
     |     time4 | -.01765753 | .01124291 | 18151 | -1.5705478 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .11630515    |    -.03969469     |     .00437964     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 15. |      parm |   estimate |    stderr |   dof |          t |
     |     time5 | -.00256054 | .01124291 | 18151 | -.22774749 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .81984512    |    -.02459771     |     .01947662     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 16. |      parm |   estimate |    stderr |   dof |          t |
     |     time6 | -.00552245 | .01124291 | 18151 |  -.4911944 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |     .6232949    |    -.02755962     |     .01651471     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 17. |      parm |   estimate |    stderr |   dof |          t |
     |     time7 | -.01564659 | .01124291 | 18151 | -1.3916851 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .16403484    |    -.03768375     |     .00639058     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 18. |      parm |   estimate |    stderr |   dof |          t |
     |     time8 |   .0140486 | .01124291 | 18151 |  1.2495525 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .21147919    |    -.00798856     |     .03608577     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 19. |      parm |   estimate |    stderr |   dof |          t |
     |     time9 |  .00183882 | .01124291 | 18151 |  .16355373 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .87008429    |    -.02019835     |     .02387599     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 20. |      parm |   estimate |    stderr |   dof |          t |
     |    time10 |  .00038917 | .01124291 | 18151 |  .03461448 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .97238753    |      -.021648     |     .02242633     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 21. |      parm |   estimate |    stderr |   dof |          t |
     |  time_1_t |  .02759258 | .01305054 | 18151 |  2.1142866 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .03450439    |     .00201229     |     .05317287     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 22. |      parm |   estimate |    stderr |   dof |          t |
     |  time_2_t |  .00843508 | .01305054 | 18151 |  .64633987 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .51806744    |    -.01714521     |     .03401537     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 23. |      parm |   estimate |    stderr |   dof |          t |
     |  time_3_t |   .0248191 | .01305054 | 18151 |  1.9017683 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .05721726    |    -.00076119     |     .05039939     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 24. |      parm |   estimate |    stderr |   dof |          t |
     |  time_4_t |  .00328966 | .01305054 | 18151 |   .2520709 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .80098912    |    -.02229063     |     .02886995     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 25. |      parm |   estimate |    stderr |   dof |          t |
     |  time_5_t |  .00355928 | .01305054 | 18151 |  .27273087 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |     .7850632    |      -.022021     |     .02913957     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 26. |      parm |   estimate |    stderr |   dof |          t |
     |  time_6_t |  .00268076 | .01305054 | 18151 |  .20541392 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .83725105    |    -.02289953     |     .02826105     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 27. |      parm |   estimate |    stderr |   dof |          t |
     |  time_7_t |  -.0161784 | .01305054 | 18151 | -1.2396731 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .21511237    |    -.04175869     |     .00940189     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 28. |      parm |   estimate |    stderr |   dof |          t |
     |  time_8_t | -.01072691 | .01305054 | 18151 |  -.8219517 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .41111518    |     -.0363072     |     .01485338     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 29. |      parm |   estimate |    stderr |   dof |          t |
     |  time_9_t | -.00189782 | .01305054 | 18151 | -.14542045 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .88438053    |     -.0274781     |     .02368247     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 30. |      parm |   estimate |    stderr |   dof |          t |
     | time_10_t |  1.126e-15 | .01305054 | 18151 |  8.628e-14 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |            1    |    -.02558029     |     .02558029     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 31. |      parm |   estimate |    stderr |   dof |          t |
     |   time1_t | -.00445575 | .01305054 | 18151 | -.34142236 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |     .7327896    |    -.03003603     |     .02112454     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 32. |      parm |   estimate |    stderr |   dof |          t |
     |   time2_t |  .00619095 | .01305054 | 18151 |  .47438249 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .63523288    |    -.01938934     |     .03177124     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 33. |      parm |   estimate |    stderr |   dof |          t |
     |   time3_t |  -.0036611 | .01305054 | 18151 | -.28053269 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .77907205    |    -.02924139     |     .02191919     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 34. |      parm |   estimate |    stderr |   dof |          t |
     |   time4_t |  .00006959 | .01305054 | 18151 |  .00533272 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .99574518    |    -.02551069     |     .02564988     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 35. |      parm |   estimate |    stderr |   dof |          t |
     |   time5_t |  .00250986 | .01305054 | 18151 |  .19231884 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .84749462    |    -.02307043     |     .02809015     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 36. |      parm |   estimate |    stderr |   dof |          t |
     |   time6_t | -.00588222 | .01305054 | 18151 | -.45072628 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .65219222    |    -.03146251     |     .01969807     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 37. |      parm |   estimate |    stderr |   dof |          t |
     |   time7_t |  .01070886 | .01305054 | 18151 |  .82056881 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |     .4119027    |    -.01487143     |     .03628915     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 38. |      parm |   estimate |    stderr |   dof |          t |
     |   time8_t |  .00731472 | .01305054 | 18151 |   .5604918 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .57515095    |    -.01826557     |     .03289501     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 39. |      parm |   estimate |    stderr |   dof |          t |
     |   time9_t |  .00378287 | .01305054 | 18151 |  .28986309 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .77192429    |    -.02179742     |     .02936316     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 40. |      parm |   estimate |    stderr |   dof |          t |
     |  time10_t |  .00606124 | .01305054 | 18151 |  .46444405 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .64233521    |    -.01951904     |     .03164153     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 41. |      parm |   estimate |    stderr |   dof |          t |
     |     _cons |   -.001907 | .00041036 | 18151 | -4.6471524 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    3.389e-06    |    -.00271134     |    -.00110266     |
     +---------------------------------------------------------+
file dyn.dta saved

. 
. use dyn, clear

. 
. drop if parm=="_cons"
(1 observation deleted)

. keep if _n>=21
(20 observations deleted)

. gen time = subinstr(parm, "time", "", .)

. replace time = subinstr(time, "_t", "", .)
(20 real changes made)

. replace time = subinstr(time, "_", "", .)
(10 real changes made)

. destring time, replace
time: all characters numeric; replaced as byte

. replace time = time*-1 if _n>=11 
(10 real changes made)

. set obs 21
number of observations (_N) was 20, now 21

. replace time = 0 in 21
(1 real change made)

. replace estimate = 0 in 21
(1 real change made)

. replace min95 = 0 in 21
(1 real change made)

. replace max95 = 0 in 21
(1 real change made)

. 
. sort time

. 
. twoway (line estimate time, lcolor(red)) || (rcap min95 max95 time, lco
> lor(black) xline(0, lcolor(red)) yline(0, lcolor(black)) ///
> graphregion(color(white)) legend(off)  ///
> xtitle("Trading day to/from Monday 14/12/2015") ytitle("Difference in R
> eturns"))

. 
. graph export "${result}FigE10.pdf", replace
(file /Users/myramohnen/Dropbox/EventStudy_Paris/JAERE/ConditionalAccept/
> RESULTS/FigE10.pdf written in PDF format)

. 
. /*=====================================================================
> =========*/
. /* Figure E11. DID 97-100% vs. gr0 */
. /*=====================================================================
> =========*/
. 
. use "did_gr97_100", clear

. append using "did_gr0"

. 
. // remove full green that are also in min0 green
. duplicates tag ISIN Date, gen(x)

Duplicates in terms of ISIN Date

. replace green = 1 if x==1
(13,671 real changes made)

. 
. drop x

. duplicates drop 

Duplicates in terms of all variables

(13,671 observations deleted)

. 
. egen group = group(ISIN)

. tsset group Date
       panel variable:  group (strongly balanced)
        time variable:  Date, 01may2015 to 29feb2016, but with gaps
                delta:  1 day

. tsfill

. gen gap = (ISIN=="")

. gen day = dow(Date)

. drop if day==0 | day==6
(22,000 observations deleted)

. 
. bys group: replace green = green[_n-1] if green==.
(0 real changes made)

. bys group: replace ISIN = ISIN[_n-1] if ISIN==""
(0 real changes made)

. bys group: replace Return = Return[_n-1] if Return==.
(0 real changes made)

. 
. gen PA = date("December 14, 2015", "MDY")

. format  PA %d

. 
. gen post = (Date>PA)

. gen post_green = post * green

. 
. sort Date

. gen time = . 
(54,250 missing values generated)

. replace time = 0 if Date==PA
(250 real changes made)

. bys ISIN (Date): replace time = time[_n-1] + 1 if time==.
(13750 real changes made)

. 
. gsort ISIN -Date

. replace time = time[_n-1] - 1 if time==.
(40,250 real changes made)

. 
. gen time_1 = (time == 0)

. gen time_2 = (time == 1)

. gen time_3 = (time == 2)

. gen time_4 = (time == 3)

. gen time_5 = (time == 4)

. gen time_6 = (time == 5)

. gen time_7 = (time == 6)

. gen time_8 = (time == 7)

. gen time_9 = (time == 8)

. gen time_10 = (time == 9)

. 
. gen time1 = (time == -2)

. gen time2 = (time == -3)

. gen time3 = (time == -4)

. gen time4 = (time == -5)

. gen time5 = (time == -6)

. gen time6 = (time == -7)

. gen time7 = (time == -8)

. gen time8 = (time == -9)

. gen time9 = (time == -10)

. gen time10 = (time == -11)

. 
. gen time_1_t = (time == 0 & green ==1)

. gen time_2_t = (time == 1 & green ==1)

. gen time_3_t = (time == 2 & green ==1)

. gen time_4_t = (time == 3 & green ==1)

. gen time_5_t = (time == 4 & green ==1)

. gen time_6_t = (time == 5 & green ==1)

. gen time_7_t = (time == 6 & green ==1)

. gen time_8_t = (time == 7 & green ==1)

. gen time_9_t = (time == 8 & green ==1)

. gen time_10_t = (time == 9 & green ==1)

. 
. gen time1_t = (time == -2 & green ==1)

. gen time2_t = (time == -3 & green ==1)

. gen time3_t = (time == -4 & green ==1)

. gen time4_t = (time == -5 & green ==1)

. gen time5_t = (time == -6 & green ==1)

. gen time6_t = (time == -7 & green ==1)

. gen time7_t = (time == -8 & green ==1)

. gen time8_t = (time == -9 & green ==1)

. gen time9_t = (time == -10 & green ==1)

. gen time10_t = (time == -11 & green ==1)

. 
. rename time date_time

. 
. xi: reg Return time*

      Source |       SS           df       MS      Number of obs   =    5
> 3,631
-------------+----------------------------------   F(40, 53590)    =     
>  8.94
       Model |  .758080832        40  .018952021   Prob > F        =    0
> .0000
    Residual |  113.593106    53,590   .00211967   R-squared       =    0
> .0066
-------------+----------------------------------   Adj R-squared   =    0
> .0059
       Total |  114.351187    53,630  .002132224   Root MSE        =    .
> 04604

-------------------------------------------------------------------------
> -----
      Return |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Inte
> rval]
-------------+-----------------------------------------------------------
> -----
      time_1 |  -.0128191   .0033823    -3.79   0.000    -.0194484   -.00
> 61899
      time_2 |   .0124669   .0033823     3.69   0.000     .0058377    .01
> 90961
      time_3 |    .018975   .0033823     5.61   0.000     .0123458    .02
> 56043
      time_4 |  -.0052717   .0033823    -1.56   0.119    -.0119009    .00
> 13575
      time_5 |  -.0116956   .0033823    -3.46   0.001    -.0183248   -.00
> 50663
      time_6 |   .0115383   .0033823     3.41   0.001     .0049091    .01
> 81676
      time_7 |   .0090216   .0033823     2.67   0.008     .0023923    .01
> 56508
      time_8 |   .0249402   .0033823     7.37   0.000     .0183109    .03
> 15694
      time_9 |   .0042273   .0033823     1.25   0.211    -.0024019    .01
> 08566
     time_10 |   .0018168   .0033732     0.54   0.590    -.0047947    .00
> 84284
       time1 |    .001964   .0033823     0.58   0.561    -.0046652    .00
> 85933
       time2 |   .0009283   .0033823     0.27   0.784     -.005701    .00
> 75575
       time3 |  -.0110234   .0033823    -3.26   0.001    -.0176526   -.00
> 43941
       time4 |  -.0184139   .0033823    -5.44   0.000    -.0250431   -.01
> 17847
       time5 |   .0167241   .0033823     4.94   0.000     .0100949    .02
> 33534
       time6 |  -.0093925   .0033823    -2.78   0.005    -.0160217   -.00
> 27632
       time7 |  -.0140067   .0033823    -4.14   0.000     -.020636   -.00
> 73775
       time8 |    .007593   .0033823     2.24   0.025     .0009638    .01
> 42223
       time9 |   .0055717   .0033823     1.65   0.099    -.0010575     .0
> 12201
      time10 |   .0057057   .0033823     1.69   0.092    -.0009235     .0
> 12335
    time_1_t |   .0183608   .0067113     2.74   0.006     .0052066     .0
> 31515
    time_2_t |    .012614   .0067113     1.88   0.060    -.0005402    .02
> 57682
    time_3_t |   .0217189   .0067113     3.24   0.001     .0085647    .03
> 48732
    time_4_t |   .0084671   .0067113     1.26   0.207    -.0046871    .02
> 16213
    time_5_t |   .0184374   .0067113     2.75   0.006     .0052832    .03
> 15916
    time_6_t |    .000513   .0067113     0.08   0.939    -.0126412    .01
> 36673
    time_7_t |   -.014233   .0067113    -2.12   0.034    -.0273873   -.00
> 10788
    time_8_t |   -.016281   .0067113    -2.43   0.015    -.0294352   -.00
> 31268
    time_9_t |   -.003137   .0067113    -0.47   0.640    -.0162912    .01
> 00172
   time_10_t |   1.99e-15   .0067068     0.00   1.000    -.0131453    .01
> 31453
     time1_t |   .0021543   .0067113     0.32   0.748    -.0109999    .01
> 53086
     time2_t |   .0037542   .0067113     0.56   0.576       -.0094    .01
> 69084
     time3_t |   .0077021   .0067113     1.15   0.251    -.0054521    .02
> 08563
     time4_t |   .0007358   .0067113     0.11   0.913    -.0124184      .
> 01389
     time5_t |   -.016865   .0067113    -2.51   0.012    -.0300192   -.00
> 37108
     time6_t |  -.0021024   .0067113    -0.31   0.754    -.0152566    .01
> 10518
     time7_t |   .0089788   .0067113     1.34   0.181    -.0041754     .0
> 22133
     time8_t |   .0136801   .0067113     2.04   0.042     .0005259    .02
> 68344
     time9_t |  -.0000402   .0067113    -0.01   0.995    -.0131944     .0
> 13114
    time10_t |   .0006545   .0067113     0.10   0.922    -.0124997    .01
> 38087
       _cons |  -.0018168   .0002087    -8.70   0.000    -.0022259   -.00
> 14077
-------------------------------------------------------------------------
> -----

. parmest, format(estimate min95 max95) list(,) saving(dyn.dta, replace) 

     +---------------------------------------------------------+
  1. |      parm |   estimate |    stderr |   dof |          t |
     |    time_1 | -.01281914 | .00338225 | 53590 | -3.7901182 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .00015074    |    -.01944839     |     -.0061899     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
  2. |      parm |   estimate |    stderr |   dof |          t |
     |    time_2 |   .0124669 | .00338225 | 53590 |  3.6859744 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .00022805    |     .00583766     |     .01909615     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
  3. |      parm |   estimate |    stderr |   dof |          t |
     |    time_3 |  .01897504 | .00338225 | 53590 |  5.6101755 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    2.031e-08    |     .01234579     |     .02560429     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
  4. |      parm |   estimate |    stderr |   dof |          t |
     |    time_4 |  -.0052717 | .00338225 | 53590 | -1.5586352 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .11908865    |    -.01190095     |     .00135755     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
  5. |      parm |   estimate |    stderr |   dof |          t |
     |    time_5 | -.01169556 | .00338225 | 53590 | -3.4579186 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .00054479    |    -.01832481     |    -.00506631     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
  6. |      parm |   estimate |    stderr |   dof |          t |
     |    time_6 |  .01153832 | .00338225 | 53590 |  3.4114282 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .00064671    |     .00490907     |     .01816756     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
  7. |      parm |   estimate |    stderr |   dof |          t |
     |    time_7 |  .00902158 | .00338225 | 53590 |  2.6673275 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .00764801    |     .00239233     |     .01565083     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
  8. |      parm |   estimate |    stderr |   dof |          t |
     |    time_8 |  .02494019 | .00338225 | 53590 |  7.3738352 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    1.682e-13    |     .01831094     |     .03156943     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
  9. |      parm |   estimate |    stderr |   dof |          t |
     |    time_9 |  .00422732 | .00338225 | 53590 |  1.2498523 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .21135897    |    -.00240193     |     .01085656     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 10. |      parm |   estimate |    stderr |   dof |          t |
     |   time_10 |  .00181683 | .00337323 | 53590 |  .53860076 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |     .5901646    |    -.00479474     |     .00842839     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 11. |      parm |   estimate |    stderr |   dof |          t |
     |     time1 |  .00196401 | .00338225 | 53590 |  .58068026 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .56145841    |    -.00466524     |     .00859325     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 12. |      parm |   estimate |    stderr |   dof |          t |
     |     time2 |  .00092828 | .00338225 | 53590 |  .27445541 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .78373573    |    -.00570097     |     .00755752     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 13. |      parm |   estimate |    stderr |   dof |          t |
     |     time3 | -.01102338 | .00338225 | 53590 | -3.2591817 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .00111804    |    -.01765263     |    -.00439413     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 14. |      parm |   estimate |    stderr |   dof |          t |
     |     time4 |  -.0184139 | .00338225 | 53590 | -5.4442694 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    5.225e-08    |    -.02504315     |    -.01178466     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 15. |      parm |   estimate |    stderr |   dof |          t |
     |     time5 |  .01672413 | .00338225 | 53590 |  4.9446696 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    7.650e-07    |     .01009488     |     .02335338     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 16. |      parm |   estimate |    stderr |   dof |          t |
     |     time6 | -.00939246 | .00338225 | 53590 | -2.7769833 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |     .0054885    |    -.01602171     |    -.00276322     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 17. |      parm |   estimate |    stderr |   dof |          t |
     |     time7 | -.01400673 | .00338225 | 53590 | -4.1412398 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |     .0000346    |    -.02063597     |    -.00737748     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 18. |      parm |   estimate |    stderr |   dof |          t |
     |     time8 |  .00759301 | .00338225 | 53590 |   2.244954 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .02477515    |     .00096376     |     .01422225     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 19. |      parm |   estimate |    stderr |   dof |          t |
     |     time9 |  .00557171 | .00338225 | 53590 |  1.6473353 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .09949502    |    -.00105754     |     .01220095     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 20. |      parm |   estimate |    stderr |   dof |          t |
     |    time10 |  .00570571 | .00338225 | 53590 |   1.686954 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .09161801    |    -.00092354     |     .01233495     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 21. |      parm |   estimate |    stderr |   dof |          t |
     |  time_1_t |   .0183608 | .00671131 | 53590 |  2.7358012 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .00622491    |     .00520658     |     .03151501     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 22. |      parm |   estimate |    stderr |   dof |          t |
     |  time_2_t |  .01261397 | .00671131 | 53590 |  1.8795108 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .06018019    |    -.00054024     |     .02576819     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 23. |      parm |   estimate |    stderr |   dof |          t |
     |  time_3_t |  .02171895 | .00671131 | 53590 |  3.2361733 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .00121217    |     .00856473     |     .03487316     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 24. |      parm |   estimate |    stderr |   dof |          t |
     |  time_4_t |  .00846707 | .00671131 | 53590 |  1.2616132 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .20709351    |    -.00468714     |     .02162129     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 25. |      parm |   estimate |    stderr |   dof |          t |
     |  time_5_t |  .01843738 | .00671131 | 53590 |  2.7472114 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .00601245    |     .00528316     |     .03159159     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 26. |      parm |   estimate |    stderr |   dof |          t |
     |  time_6_t |  .00051304 | .00671131 | 53590 |  .07644393 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |     .9390662    |    -.01264118     |     .01366725     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 27. |      parm |   estimate |    stderr |   dof |          t |
     |  time_7_t | -.01423304 | .00671131 | 53590 | -2.1207551 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |      .033947    |    -.02738725     |    -.00107882     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 28. |      parm |   estimate |    stderr |   dof |          t |
     |  time_8_t | -.01628097 | .00671131 | 53590 | -2.4259016 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .01527369    |    -.02943518     |    -.00312675     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 29. |      parm |   estimate |    stderr |   dof |          t |
     |  time_9_t | -.00313697 | .00671131 | 53590 | -.46741549 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .64020454    |    -.01629118     |     .01001725     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 30. |      parm |   estimate |    stderr |   dof |          t |
     | time_10_t |  1.994e-15 | .00670676 | 53590 |  2.973e-13 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |            1    |    -.01314531     |     .01314531     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 31. |      parm |   estimate |    stderr |   dof |          t |
     |   time1_t |  .00215435 | .00671131 | 53590 |  .32100276 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .74820955    |    -.01099987     |     .01530856     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 32. |      parm |   estimate |    stderr |   dof |          t |
     |   time2_t |  .00375423 | .00671131 | 53590 |  .55938873 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .57589879    |    -.00939999     |     .01690844     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 33. |      parm |   estimate |    stderr |   dof |          t |
     |   time3_t |   .0077021 | .00671131 | 53590 |  1.1476305 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .25112625    |    -.00545212     |     .02085631     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 34. |      parm |   estimate |    stderr |   dof |          t |
     |   time4_t |   .0007358 | .00671131 | 53590 |  .10963556 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .91269882    |    -.01241842     |     .01389001     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 35. |      parm |   estimate |    stderr |   dof |          t |
     |   time5_t | -.01686498 | .00671131 | 53590 | -2.5129214 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .01197651    |     -.0300192     |    -.00371077     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 36. |      parm |   estimate |    stderr |   dof |          t |
     |   time6_t | -.00210238 | .00671131 | 53590 | -.31326017 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .75408423    |     -.0152566     |     .01105183     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 37. |      parm |   estimate |    stderr |   dof |          t |
     |   time7_t |  .00897883 | .00671131 | 53590 |  1.3378659 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .18094583    |    -.00417539     |     .02213304     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 38. |      parm |   estimate |    stderr |   dof |          t |
     |   time8_t |  .01368014 | .00671131 | 53590 |  2.0383729 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .04151756    |     .00052593     |     .02683436     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 39. |      parm |   estimate |    stderr |   dof |          t |
     |   time9_t | -.00004019 | .00671131 | 53590 | -.00598875 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .99522172    |    -.01319441     |     .01311402     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 40. |      parm |   estimate |    stderr |   dof |          t |
     |  time10_t |  .00065453 | .00671131 | 53590 |  .09752648 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    .92230867    |    -.01249968     |     .01380875     |
     +---------------------------------------------------------+

     +---------------------------------------------------------+
 41. |      parm |   estimate |    stderr |   dof |          t |
     |     _cons | -.00181683 | .00020873 | 53590 | -8.7040354 |
     |---------------------------------------------------------|
     |            p    |         min95     |         max95     |
     |    3.292e-18    |    -.00222595     |    -.00140771     |
     +---------------------------------------------------------+
file dyn.dta saved

. 
. use dyn, clear

. 
. drop if parm=="_cons"
(1 observation deleted)

. keep if _n>=21
(20 observations deleted)

. gen time = subinstr(parm, "time", "", .)

. replace time = subinstr(time, "_t", "", .)
(20 real changes made)

. replace time = subinstr(time, "_", "", .)
(10 real changes made)

. destring time, replace
time: all characters numeric; replaced as byte

. replace time = time*-1 if _n>=11 
(10 real changes made)

. set obs 21
number of observations (_N) was 20, now 21

. replace time = 0 in 21
(1 real change made)

. replace estimate = 0 in 21
(1 real change made)

. replace min95 = 0 in 21
(1 real change made)

. replace max95 = 0 in 21
(1 real change made)

. 
. sort time

. 
. twoway (line estimate time, lcolor(red)) || (rcap min95 max95 time, lco
> lor(black) xline(0, lcolor(red)) yline(0, lcolor(black)) ///
> graphregion(color(white)) legend(off)  ///
> xtitle("Trading day to/from Monday 14/12/2015") ytitle("Difference in R
> eturns"))

. 
. graph export "${result}FigE11.pdf", replace
(file /Users/myramohnen/Dropbox/EventStudy_Paris/JAERE/ConditionalAccept/
> RESULTS/FigE11.pdf written in PDF format)

. 
. log close
      name:  <unnamed>
       log:  /Users/myramohnen/Dropbox/EventStudy_Paris/JAERE/Conditional
> Accept/RESULTS/4_appendix.log
  log type:  text
 closed on:  28 Jul 2023, 14:35:44
-------------------------------------------------------------------------
